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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/95256


    Title: Contagious Effects during the Asian Financial Crisis: Some Evidence from ADR and Country Funds
    Authors: Chung, Huimin
    Contributors: 淡江大學財務金融學系
    Keywords: Contagious effect;Asian financial crisis;ADR;Country fund
    Date: 2001-12
    Issue Date: 2014-02-11 23:59:42 (UTC+8)
    Abstract: This paper investigates the impact of exchange-rate changes of Thailand baht on prices, trading activity, and liquidity of the ADR and country funds listed in NYSE and Nasdaq during the Asian crisis. Our results demonstrate that there are contagious effects of baht exchange rate changes on returns of Asian and East Europe ADR and country funds. Contagious effects on volatility of Asian ADR and country funds are observed. There is evidence that Thailand baht depreciation triggers a sell-off of Asian country funds, showing investors’ loss of confidence of Asian securities during the Asian crisis. However, there is no evidence that baht depreciation triggers a sell-off of non-Asian ADR and country funds.
    Relation: 第10屆證券暨金融市場理論與實務研討會論文集,30頁
    Appears in Collections:[財務金融學系暨研究所] 會議論文

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