A re-examination of the calendar anomalies during the Asian financial crisis: Some empirical evidence from the closure test principle and the EGARCH-mean model

Shiok, Ye Lim and Chia, Ricky Chee Jiun (2016) A re-examination of the calendar anomalies during the Asian financial crisis: Some empirical evidence from the closure test principle and the EGARCH-mean model. Information Efficiency and Anomalies in Asian Equity Markets: Theories and Evidence. pp. 69-88.

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Abstract

The Asian financial crisis was a remarkable financial crisis that hit many East Asia economies and prompted large financial bailouts. The financial crisis started in Thailand in July 1997 with slumping currency, devalued stock market and other asset prices. Indonesia, South Korea, Hong Kong, Malaysia and the Philippines were also hurt by the slump due to financial contagion. The financial crisis also put pressure on the United States, as its market was severely hit in October 1997. The movement of the major Asian indices and the Chicago Board Option Exchange (CBOE) Volatility Index (VIX), which is often referred to as the fear index, are plotted in Figure 5.1. As seen in Figure 5.1, the financial markets were calm from June to early October 1997, with major indices in a decreasing trend. However, the crisis changed the trend, the markets became extremely volatile and stock prices of a few markets dropped significantly towards the end of October 1997.

Item Type: Book Chapter
Uncontrolled Keywords: Economies , financial , stock market , trend
Subjects: H Social Sciences > HG Finance
Divisions: FACULTY > Labuan Faculty of International Finance
Depositing User: Noraini
Date Deposited: 17 May 2018 01:29
Last Modified: 17 May 2018 01:29
URI: http://eprints.ums.edu.my/id/eprint/20061

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