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BEHAVIOR OF EQUITY AND MONEY MARKETS DURING THE ASIAN CRISIS
Sorin Tuluca,Burton Zwick People&Global Business Association 2006 Global Business and Finance Review Vol.11 No.1
This paper analyzes the effect of the Asian crisis on the financial integration of capital and money markets across twelve countries from Asia, Europe and the Americas. Through a comparison of daily returns of equity and money markets from before and after the advent of the Asian crisis in July 1997, Granger causality and principal components analyses are used to explore the effect of the crisis on the co-movement of returns. Evidence points to an increased co-movement in the equity markets returns thus highlighting the adverse effect of global shocks on the effectiveness of international diversification strategies. For the money markets, the results show a reduction in interdependence following the crisis. Evidence of reduced co-movement in money markets could be explained by the increased dispersion of monetary policies during the Asian crisis.