Testing contagion effects of the 2007 global financial crisis on exchange rates and stock market of selected Southeast Asian countries

Date of Publication

2010

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Commerce Major in Management of Financial Institutions

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Thesis Adviser

Rene B. Hapitan

Defense Panel Chair

Ma. Esperanza F. Joven

Defense Panel Member

Vivian Eleazar
Krista Yu

Abstract/Summary

Contagion refers to the transmission of economic shocks or disturbances of a country to other related countries evidenced by increase in the co-movements of their economic indicators. This paper performs statistical tests for pre-selected dates to verify as to when a structural break has really occurred that sparked the 2007 Global Financial Crisis which originated in the U.S. The main goal of this research is to determine evidence of contagion in selected Southeast Asian countries, namely the Philippines, Indonesia, Malaysia, Thailand and Singapore, using weekly data on two economic indicators: exchange rates and stock market indices. Results in the exchange rate market are varied, with only Indonesia and Thailand testing significantly. However, there appears to be an almost uniform result among the countries in their equity markets. All of the stock indices of the selected Southeast Asian countries appear to be affected by the crisis with a considerable increase in its correlation with the U.S. in the crisis period from the pre-crisis period-except for the Philippines, where the result, although negative, was not significant.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU17167

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

93 leaves : illustrations

Keywords

Stock exchanges--Southeast Asia

This document is currently not available here.

Share

COinS