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ANALYZING ASSET MARKET CONTAGION DURING CRISES FROM EMERGING ASIAN MARKETS TO THE US

by Howe, Daniel

Abstract

This paper investigates whether, during the Asian crisis, the dotcom bubble, and the global crisis, contagion occurred from emerging Asian markets to the US through the stock market. More specifically, this paper explores price comovements between emerging Asian markets (India, Indonesia, the Philippines, Thailand), and two separate control groups (Japan and Europe). The indices selected to represent these markets were the SSEC, BSESN, TOPX, JKSE, SETI, STOXX50, PSI, HSI, and the S&P500. I analyzed a 20-year period from January 1997 to December 2016. The results imply that all markets I studied share interdependence with the US; furthermore, China demonstrates the least amount of price comovements with the US. Finally, I showed that during both the Asian crisis and the dotcom bubble countries such as India, Hong Kong, and Europe, actually de-coupled their markets from the US’s.

Note

The author has given permission for this work to be deposited in the Digital Archive of Colorado College.

Colorado College Honor Code upheld.

Includes bibliographical references.

Administrative Notes

The author has given permission for this work to be deposited in the Digital Archive of Colorado College.

Colorado College Honor Code upheld.

Copyright
Copyright restrictions apply.
Publisher
Colorado College Tutt Library
PID
coccc:27160
Digital Origin
born digital
Extent
40 pages : illustrations
Thesis
Senior Thesis -- Colorado College
Thesis Advisor
Bill Craighead
Department/Program
Economics and Business
Degree Name
Bachelor of Arts
Degree Type
bachelor
Degree Grantor
Colorado College Tutt Library
Date Issued
2017-05