Divergent expectations and the asian financial crisis of 1997

Journal of Financial Research

Volumn 24, Issue 2, 2001, Pages 219-238

  Pan, Ming Shiun ^a   Chan, Kam C ^b   Wright, David J ^c  

^a SHIPPENSBURG UNIVERSITY   (United States)

^b UNIVERSITY OF DAYTON   (United States)

^c UNIVERSITY OF WISCONSIN PARKSIDE   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0006602246     PISSN: 02702592     EISSN: 14756803     Source Type: Journal    
DOI: 10.1111/j.1475-6803.2001.tb00766.x     Document Type: Article

References (20)

1. Bekaert, G. and M. S. Urias, 1996, Diversification, integration and emerging market closed-end funds, Journal of Finance 51, 835–69.
2. Bodurtha, J. N. Jr., D.-S. Kim, and C. M. C. Lee, 1995, Closed-end country funds and U.S. market sentiment, Review of Financial Studies 8, 879–918.
3. Chang, E. C., C. S. Eun, and R. Kolodny, 1995, International diversification through closed-end country funds, Journal of Banking and Finance 19, 1237–63.
4. Chen, N.-F., R. Kan, and M. H. Miller, 1993, Are the discounts on closed-end funds a sentiment index? Journal of Finance 48, 795–800.
5. Chopra, N., C. M. C. Lee, A. Shleifer, and R. H. Thaler, 1993, Yes, discounts on closed-end funds are a sentiment index, Journal of Finance 48, 801–808.
6. Eun, C. S. and S. Shim, 1989, International transmission of stock market movements, Journal of Financial and Quantitative Analysis 24, 241–56.
7. Frankel, J. A. and S. L. Schmukler, 1996, Country fund discounts, asymmetric Information and the Mexican crisis of 1994: Did local residents turn pessimistic before international investors?, National Bureau of Economic Research Working Paper 5714.
8. Froot, K. A., P. G. J. O'Connell, and M. S. Seasholes, 1998, The portfolio flows of international investors: Part I, National Bureau of Economic Research Working Paper 6687.
9. Granger, C. W. J., 1969, Investigating causal relations by econometrics models and cross spectral methods, Econometrica 37, 424–38.
10. Granger, C. W. J., 1988, Some recent developments in a concept of causality, Journal of Econometrics 39, 199–211.
11. Hardouvelis, G. A., R. La Porta, and T. A. Wizman, 1994, What moves the discount on country equity funds?, National Bureau of Economic Research Working Paper 4571.
12. Hsiao, C., 1981, Autoregressive modelling and money-income causality detection, Journal of Monetary Economics 7, 85–106.
13. Johansen, S., 1991, Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models, Econometrica 58, 165–88.
14. Johansen, S. and K. Juselius, 1990, Maximum likelihood estimation and inference on cointegration-With applications to the demand for money, Oxford Bulletin of Economics and Statistics 52, 169–210.
15. Lee, C. M. C., A. Shleifer, and R. Thaler, 1990, Anomalies, closed-end mutual funds, Journal of Economic Perspective 4, 153–64.
16. Lee, C. M. C., A. Shleifer, and R. Thaler, 1991, Investor sentiment and the closed-end fund puzzle, Journal of Finance 46, 75–109.
17. Malkiel, B. G., 1977, The valuation of closed-end investment company shares, Journals of Finance 32, 847–59.
18. Radelet, S. and J. Sachs, 1998, The onset of the East Asian financial crisis, National Bureau of Economic Research Working Paper 6680.
19. Stock, J. H. and M. W. Watson, 1993, A simple estimator of cointegrating vectors in higher order integrated systems, Econometrica 61, 783–820.
20. Theodossiou, P. and U. Lee, 1993, Mean and volatility spillovers across major national stock markets: Further empirical evidence, Journal of Financial Research 16, 337–50.