Behavioural heterogeneity and shift-contagion: Evidence from the Asian crisis

Autor: Willem F. C. Verschoor, Eelke de Jong, Remco C. J. Zwinkels
Přispěvatelé: Business Economics, School of Business and Economics, Tinbergen Institute, Finance
Rok vydání: 2009
Předmět:
Zdroj: Journal of Economic Dynamics and Control, 33, 1929-1944
Journal of Economic Dynamics and Control, 33(11), 1929-1944. Elsevier
Journal of Economic Dynamics and Control, 33, 11, pp. 1929-1944
De Jong, E, Verschoor, W F C & Zwinkels, R C J 2009, ' Behavioural heterogeneity and shift-contagion : Evidence from the Asian crisis ', Journal of Economic Dynamics and Control, vol. 33, no. 11, pp. 1929-1944 . https://doi.org/10.1016/j.jedc.2009.06.002
ISSN: 0165-1889
DOI: 10.1016/j.jedc.2009.06.002
Popis: Contains fulltext : 82589.pdf (Publisher’s version ) (Closed access) In this paper, we propose an empirical model based on the heterogeneous agents literature. Price changes are induced by fundamental, technical, and international factors. The model is estimated for Hong Kong and Thailand surrounding the Asian crisis. We find that the three sources are relevant and that their relative price impact fluctuates conditional on price impact in the previous period. Results imply that the crisis is triggered in Thailand due to an increased focus on the fundamental price, followed by an increase in chartism and finally aggravated by a focus on foreign developments. Furthermore, the crisis deepens in Hong Kong because of increased attention for foreign markets. 16 p.
Databáze: OpenAIRE
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