메뉴 건너뛰기




Volumn 76, Issue 2, 2008, Pages 193-207

The anatomy of financial crises: Evidence from the emerging ADR market

Author keywords

ADRs; Financial crises; Market efficiency; Market integration; Regime shifts

Indexed keywords

CAPITAL FLOW; CAPITAL MARKET; CURRENCY DEVALUATION; EFFICIENCY MEASUREMENT; EXCHANGE RATE; FINANCIAL CRISIS; FINANCIAL MARKET; MARKET TRANSITION; PRICING POLICY;

EID: 56549104350     PISSN: 00221996     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jinteco.2008.04.001     Document Type: Article
Times cited : (21)

References (94)
  • 1
    • 0000634811 scopus 로고
    • Speculative attacks and models of balance of payments crises
    • Agenor P., Bhandari B., and Flood R. Speculative attacks and models of balance of payments crises. IMF Staff Papers 39 (1992) 357-394
    • (1992) IMF Staff Papers , vol.39 , pp. 357-394
    • Agenor, P.1    Bhandari, B.2    Flood, R.3
  • 4
    • 0035019757 scopus 로고    scopus 로고
    • Currency crises and monetary policy in an economy with credit constraints
    • Aghion P., Bacchetta P., and Banerjee A. Currency crises and monetary policy in an economy with credit constraints. European Economic Review 45 (2001) 1121-1150
    • (2001) European Economic Review , vol.45 , pp. 1121-1150
    • Aghion, P.1    Bacchetta, P.2    Banerjee, A.3
  • 5
    • 84977732409 scopus 로고
    • Asset pricing and dual listing on foreign capital markets: a note
    • Alexander G., Eun C., and Janakiramanan S. Asset pricing and dual listing on foreign capital markets: a note. Journal of Finance 42 (1987) 151-158
    • (1987) Journal of Finance , vol.42 , pp. 151-158
    • Alexander, G.1    Eun, C.2    Janakiramanan, S.3
  • 6
    • 33748926270 scopus 로고    scopus 로고
    • Cross-border trading as a mechanism for capital flight: ADRs and the Argentine crisis
    • Auguste S., Dominguez K., Kamil H., and Tesar L. Cross-border trading as a mechanism for capital flight: ADRs and the Argentine crisis. Journal of Monetary Economics 53 (2006) 1259-1295
    • (2006) Journal of Monetary Economics , vol.53 , pp. 1259-1295
    • Auguste, S.1    Dominguez, K.2    Kamil, H.3    Tesar, L.4
  • 7
    • 0010122829 scopus 로고    scopus 로고
    • Liquidity provision and specialist trading in NYSE-listed non-U.S. stocks
    • Bacidore J., and Sofianos G. Liquidity provision and specialist trading in NYSE-listed non-U.S. stocks. Journal of Financial Economics 63 (2002) 133-158
    • (2002) Journal of Financial Economics , vol.63 , pp. 133-158
    • Bacidore, J.1    Sofianos, G.2
  • 8
    • 0001568702 scopus 로고    scopus 로고
    • Testing for and dating common breaks in multivariate time series
    • Bai J., Lumsdaine R., and Stock J. Testing for and dating common breaks in multivariate time series. Review of Economic Studies 65 (1998) 395-432
    • (1998) Review of Economic Studies , vol.65 , pp. 395-432
    • Bai, J.1    Lumsdaine, R.2    Stock, J.3
  • 9
    • 0039012092 scopus 로고    scopus 로고
    • Depositary receipts, country funds, and the peso crash: the intraday evidence
    • Bailey W., Chan K., and Chung P. Depositary receipts, country funds, and the peso crash: the intraday evidence. Journal of Finance 55 (2002) 2693-2717
    • (2002) Journal of Finance , vol.55 , pp. 2693-2717
    • Bailey, W.1    Chan, K.2    Chung, P.3
  • 10
    • 84993905064 scopus 로고
    • Time-varying world market integration
    • Bekaert G., and Harvey C. Time-varying world market integration. Journal of Finance 50 (1995) 403-444
    • (1995) Journal of Finance , vol.50 , pp. 403-444
    • Bekaert, G.1    Harvey, C.2
  • 12
    • 0040212676 scopus 로고    scopus 로고
    • Foreign speculators and emerging equity markets
    • Bekaert G., and Harvey C. Foreign speculators and emerging equity markets. Journal of Finance 55 (2000) 565-613
    • (2000) Journal of Finance , vol.55 , pp. 565-613
    • Bekaert, G.1    Harvey, C.2
  • 19
    • 21844518860 scopus 로고
    • Financial fragility: issues and policy implications
    • Calomiris C. Financial fragility: issues and policy implications. Journal of Financial Services Research 9 (1995) 241-257
    • (1995) Journal of Financial Services Research , vol.9 , pp. 241-257
    • Calomiris, C.1
  • 20
    • 0034035847 scopus 로고    scopus 로고
    • Rational contagion and the globalization of securities markets
    • Calvo G., and Mendoza E. Rational contagion and the globalization of securities markets. Journal of International Economics 51 (2000) 79-113
    • (2000) Journal of International Economics , vol.51 , pp. 79-113
    • Calvo, G.1    Mendoza, E.2
  • 21
    • 0039765357 scopus 로고    scopus 로고
    • Capital-market crises and economic collapse in emerging markets: an informational-frictions approach
    • Calvo G., and Mendoza E. Capital-market crises and economic collapse in emerging markets: an informational-frictions approach. American Economic Review 90 (2000) 59-64
    • (2000) American Economic Review , vol.90 , pp. 59-64
    • Calvo, G.1    Mendoza, E.2
  • 22
    • 70350303313 scopus 로고    scopus 로고
    • Count data models for financial data
    • Maddala G., and Rao C. (Eds), Elsevier
    • Cameron C., and Trivedi P. Count data models for financial data. In: Maddala G., and Rao C. (Eds). Handbook of Statistics vol. 14 (1996), Elsevier 363-392
    • (1996) Handbook of Statistics , vol.14 , pp. 363-392
    • Cameron, C.1    Trivedi, P.2
  • 23
    • 0041724286 scopus 로고    scopus 로고
    • Liquidity crises in emerging markets: theory and policy
    • Chang R., and Velasco A. Liquidity crises in emerging markets: theory and policy. NBER Macroeconomic Annual (1999) 11-58
    • (1999) NBER Macroeconomic Annual , pp. 11-58
    • Chang, R.1    Velasco, A.2
  • 24
    • 13844250448 scopus 로고    scopus 로고
    • Financial crises as herds: overturning the critiques
    • Chari V., and Kehoe P. Financial crises as herds: overturning the critiques. Journal of Economic Theory 119 (2004) 128-150
    • (2004) Journal of Economic Theory , vol.119 , pp. 128-150
    • Chari, V.1    Kehoe, P.2
  • 25
    • 33747358345 scopus 로고    scopus 로고
    • What matters for financial development? Capital controls, institutions, and interactions
    • Chinn M., and Ito H. What matters for financial development? Capital controls, institutions, and interactions. Journal of Development Economics 61 (2006) 163-192
    • (2006) Journal of Development Economics , vol.61 , pp. 163-192
    • Chinn, M.1    Ito, H.2
  • 26
  • 27
    • 10444274180 scopus 로고    scopus 로고
    • The contagious effects of the Asian financial crisis: some evidence from ADR and country funds
    • Chung H. The contagious effects of the Asian financial crisis: some evidence from ADR and country funds. Journal of Multinational Financial Management 15 (2005) 67-84
    • (2005) Journal of Multinational Financial Management , vol.15 , pp. 67-84
    • Chung, H.1
  • 29
    • 0842312523 scopus 로고    scopus 로고
    • Does one Soros make a difference? A theory of currency crises with large and small traders
    • Corsetti G., Dasgupta A., Morris S., and Shin H. Does one Soros make a difference? A theory of currency crises with large and small traders. Review of Economic Studies 71 (2004) 87-113
    • (2004) Review of Economic Studies , vol.71 , pp. 87-113
    • Corsetti, G.1    Dasgupta, A.2    Morris, S.3    Shin, H.4
  • 30
    • 29544440587 scopus 로고    scopus 로고
    • Some contagion, some interdependence: more pitfalls in tests of financial contagion
    • Corsetti G., Pericoli M., and Sbracia M. Some contagion, some interdependence: more pitfalls in tests of financial contagion. Journal of International Money and Finance 24 (2005) 1177-1199
    • (2005) Journal of International Money and Finance , vol.24 , pp. 1177-1199
    • Corsetti, G.1    Pericoli, M.2    Sbracia, M.3
  • 32
    • 17644402658 scopus 로고    scopus 로고
    • Regionality revised: an examination of the direction of spread of currency crises
    • Yale University
    • Dasgupta A. Regionality revised: an examination of the direction of spread of currency crises. Working Paper (2000), Yale University
    • (2000) Working Paper
    • Dasgupta, A.1
  • 34
    • 0037317053 scopus 로고    scopus 로고
    • A simple measure of the intensity of capital controls
    • Edison H., and Warnock F. A simple measure of the intensity of capital controls. Journal of Empirical Finance 10 (2003) 81-103
    • (2003) Journal of Empirical Finance , vol.10 , pp. 81-103
    • Edison, H.1    Warnock, F.2
  • 36
    • 0035648894 scopus 로고    scopus 로고
    • American depositary receipts - an analysis of international stock price movements
    • Ely D., and Salehizadeh M. American depositary receipts - an analysis of international stock price movements. International Review of Financial Analysis 10 (2001) 343-363
    • (2001) International Review of Financial Analysis , vol.10 , pp. 343-363
    • Ely, D.1    Salehizadeh, M.2
  • 38
    • 84944837552 scopus 로고
    • International asset pricing under mild segmentation: theory and test
    • Errunza V., and Losq E. International asset pricing under mild segmentation: theory and test. Journal of Finance 40 (1985) 105-124
    • (1985) Journal of Finance , vol.40 , pp. 105-124
    • Errunza, V.1    Losq, E.2
  • 40
    • 0033970330 scopus 로고    scopus 로고
    • Self-fulfilling risk predictions: an application to speculative attacks
    • Flood R., and Marion N. Self-fulfilling risk predictions: an application to speculative attacks. Journal of International Economics 50 (2000) 245-268
    • (2000) Journal of International Economics , vol.50 , pp. 245-268
    • Flood, R.1    Marion, N.2
  • 41
    • 0002357241 scopus 로고    scopus 로고
    • The effects of market segmentation and investor recognition on asset prices: evidence from foreign stocks listing in the United States
    • Foerster S., and Karolyi A. The effects of market segmentation and investor recognition on asset prices: evidence from foreign stocks listing in the United States. Journal of Finance 54 (1999) 981-1014
    • (1999) Journal of Finance , vol.54 , pp. 981-1014
    • Foerster, S.1    Karolyi, A.2
  • 42
    • 56549091552 scopus 로고    scopus 로고
    • Multi-market trading and arbitrage
    • Fisher College of Business, Ohio State University
    • Gagnon L., and Karolyi A. Multi-market trading and arbitrage. Working Paper (2004), Fisher College of Business, Ohio State University
    • (2004) Working Paper
    • Gagnon, L.1    Karolyi, A.2
  • 45
    • 0000660071 scopus 로고    scopus 로고
    • Another look at the role of the industrial structure of markets for international diversification strategies
    • Griffin J., and Karolyi A. Another look at the role of the industrial structure of markets for international diversification strategies. Journal of Financial Economics 50 (1998) 351-373
    • (1998) Journal of Financial Economics , vol.50 , pp. 351-373
    • Griffin, J.1    Karolyi, A.2
  • 46
    • 0001188867 scopus 로고
    • On the impossibility of informationally efficient markets
    • Grossman S., and Stiglitz J. On the impossibility of informationally efficient markets. American Economic Review 70 (1980) 393-408
    • (1980) American Economic Review , vol.70 , pp. 393-408
    • Grossman, S.1    Stiglitz, J.2
  • 48
    • 21844487168 scopus 로고
    • Predictable risk and return in emerging markets
    • Harvey C. Predictable risk and return in emerging markets. Review of Financial Studies 8 (1995) 773-816
    • (1995) Review of Financial Studies , vol.8 , pp. 773-816
    • Harvey, C.1
  • 49
    • 0002268752 scopus 로고
    • Does industrial structure explain the benefits of international diversification?
    • Heston S., and Rouwenhorst G. Does industrial structure explain the benefits of international diversification?. Journal of Financial Economics 36 (1994) 3-27
    • (1994) Journal of Financial Economics , vol.36 , pp. 3-27
    • Heston, S.1    Rouwenhorst, G.2
  • 50
    • 0002899674 scopus 로고
    • The stock price impact of overseas listings
    • Howe J., and Kelm K. The stock price impact of overseas listings. Financial Management 16 (1987) 51-56
    • (1987) Financial Management , vol.16 , pp. 51-56
    • Howe, J.1    Kelm, K.2
  • 52
    • 19944386908 scopus 로고    scopus 로고
    • What drives time variation in emerging market segmentation?
    • Hunter D. What drives time variation in emerging market segmentation?. Journal of Financial Research 28 (2005) 261-280
    • (2005) Journal of Financial Research , vol.28 , pp. 261-280
    • Hunter, D.1
  • 54
    • 68849113047 scopus 로고    scopus 로고
    • Currency crises: a perspective on recent theoretical developments
    • Princeton University
    • Jeanne O. Currency crises: a perspective on recent theoretical developments. Special Papers in International Economics No. 20 (2000), Princeton University
    • (2000) Special Papers in International Economics No. 20
    • Jeanne, O.1
  • 55
    • 84944832612 scopus 로고
    • Integration versus segmentation in the Canadian stock market
    • Jorion P., and Schwartz E. Integration versus segmentation in the Canadian stock market. Journal of Finance 41 (1986) 603-616
    • (1986) Journal of Finance , vol.41 , pp. 603-616
    • Jorion, P.1    Schwartz, E.2
  • 56
    • 17644385922 scopus 로고    scopus 로고
    • An examination of the Asian crisis: regime shifts in currency and equity markets
    • Kallberg J., Liu C., and Pasquariello P. An examination of the Asian crisis: regime shifts in currency and equity markets. Journal of Business, 78 (2005) 169-211
    • (2005) Journal of Business , vol.78 , pp. 169-211
    • Kallberg, J.1    Liu, C.2    Pasquariello, P.3
  • 58
  • 60
    • 12144272491 scopus 로고    scopus 로고
    • Managers, investors, and crises: mutual fund strategies in emerging markets
    • Kaminsky G., Lyons R., and Schmukler S. Managers, investors, and crises: mutual fund strategies in emerging markets. Journal of International Economics 64 (2004) 113-134
    • (2004) Journal of International Economics , vol.64 , pp. 113-134
    • Kaminsky, G.1    Lyons, R.2    Schmukler, S.3
  • 61
    • 0003365819 scopus 로고    scopus 로고
    • Why do companies list shares abroad? A survey of the evidence and its managerial implications
    • Karolyi A. Why do companies list shares abroad? A survey of the evidence and its managerial implications. Financial Markets, Institutions & Money 7 (1998) 1-60
    • (1998) Financial Markets, Institutions & Money , vol.7 , pp. 1-60
    • Karolyi, A.1
  • 62
    • 32144464931 scopus 로고    scopus 로고
    • The world of cross-listings and cross-listings of the world: challenging conventional wisdom
    • Karolyi A. The world of cross-listings and cross-listings of the world: challenging conventional wisdom. Review of Finance 10 (2006) 99-152
    • (2006) Review of Finance , vol.10 , pp. 99-152
    • Karolyi, A.1
  • 63
    • 66049088654 scopus 로고    scopus 로고
    • Are financial assets priced locally or globally?
    • Constantinides G., Harris M., and Stulz R. (Eds), North-Holland
    • Karolyi A., and Stulz R. Are financial assets priced locally or globally?. In: Constantinides G., Harris M., and Stulz R. (Eds). Handbook of the Economics of Finance (2003), North-Holland
    • (2003) Handbook of the Economics of Finance
    • Karolyi, A.1    Stulz, R.2
  • 65
    • 0036131943 scopus 로고    scopus 로고
    • Foreign portfolio investors before and during a crisis
    • Kim W., and Wei S. Foreign portfolio investors before and during a crisis. Journal of International Economics 56 (2002) 77-96
    • (2002) Journal of International Economics , vol.56 , pp. 77-96
    • Kim, W.1    Wei, S.2
  • 66
    • 0003151378 scopus 로고
    • Transmission of volatility between stock markets
    • King M., and Wadhwani S. Transmission of volatility between stock markets. Review of Financial Studies 3 (1990) 5-33
    • (1990) Review of Financial Studies , vol.3 , pp. 5-33
    • King, M.1    Wadhwani, S.2
  • 67
    • 0013067956 scopus 로고    scopus 로고
    • A rational expectations model of financial contagion
    • Kodres L., and Pritsker M. A rational expectations model of financial contagion. Journal of Finance 57 (2002) 769-799
    • (2002) Journal of Finance , vol.57 , pp. 769-799
    • Kodres, L.1    Pritsker, M.2
  • 69
    • 0011366180 scopus 로고    scopus 로고
    • Contagion as a wealth effect
    • Kyle A., and Xiong W. Contagion as a wealth effect. Journal of Finance 56 (2001) 1401-1440
    • (2001) Journal of Finance , vol.56 , pp. 1401-1440
    • Kyle, A.1    Xiong, W.2
  • 71
    • 21344483941 scopus 로고
    • Cross-sectional determinants of analysts' ratings of corporate disclosures
    • Lang M., and Lundholm R. Cross-sectional determinants of analysts' ratings of corporate disclosures. Journal of Accounting Research 31 (1993) 246-271
    • (1993) Journal of Accounting Research , vol.31 , pp. 246-271
    • Lang, M.1    Lundholm, R.2
  • 73
    • 0242534354 scopus 로고    scopus 로고
    • The economic consequences of increased disclosure
    • Leuz C., and Verrecchia R. The economic consequences of increased disclosure. Journal of Accounting Research 38 (2000) 91-124
    • (2000) Journal of Accounting Research , vol.38 , pp. 91-124
    • Leuz, C.1    Verrecchia, R.2
  • 74
    • 1342333129 scopus 로고    scopus 로고
    • The price of inconvertible deposits: the stock market boom during the Argentine crisis
    • Levy Yeyati E., Schmukler S., and Van Horen N. The price of inconvertible deposits: the stock market boom during the Argentine crisis. Economic Letters 83 (2004) 7-13
    • (2004) Economic Letters , vol.83 , pp. 7-13
    • Levy Yeyati, E.1    Schmukler, S.2    Van Horen, N.3
  • 75
    • 0038845431 scopus 로고    scopus 로고
    • Rationality and analysts' forecast bias
    • Lim T. Rationality and analysts' forecast bias. Journal of Finance 56 (2001) 369-385
    • (2001) Journal of Finance , vol.56 , pp. 369-385
    • Lim, T.1
  • 76
    • 0031616581 scopus 로고    scopus 로고
    • Did markets react efficiently to the 1994 Mexican peso crisis? Evidence from Mexican ADRs
    • Mathur I., Gleason K., and Singh M. Did markets react efficiently to the 1994 Mexican peso crisis? Evidence from Mexican ADRs. Journal of Multinational Financial Management 8 (1998) 39-48
    • (1998) Journal of Multinational Financial Management , vol.8 , pp. 39-48
    • Mathur, I.1    Gleason, K.2    Singh, M.3
  • 77
    • 0141576736 scopus 로고    scopus 로고
    • A stock market boom during a financial crisis? ADRs and capital outflows in Argentina
    • Melvin M. A stock market boom during a financial crisis? ADRs and capital outflows in Argentina. Economic Letters 81 (2003) 129-136
    • (2003) Economic Letters , vol.81 , pp. 129-136
    • Melvin, M.1
  • 79
    • 0001373089 scopus 로고    scopus 로고
    • The information content of stock markets: why do emerging markets have synchronous stock price movements?
    • Morck R., Yeung B., and Yu W. The information content of stock markets: why do emerging markets have synchronous stock price movements?. Journal of Financial Economics 58 (2000) 215-260
    • (2000) Journal of Financial Economics , vol.58 , pp. 215-260
    • Morck, R.1    Yeung, B.2    Yu, W.3
  • 80
    • 0002216005 scopus 로고    scopus 로고
    • The global capital market: benefactor or menace
    • Obstfeld M. The global capital market: benefactor or menace. Journal of Economic Perspectives 12 (1998) 9-30
    • (1998) Journal of Economic Perspectives , vol.12 , pp. 9-30
    • Obstfeld, M.1
  • 81
    • 34848870960 scopus 로고    scopus 로고
    • Recovery and sustainability in East Asia
    • Dooley M., and Frankel J. (Eds), University of Chicago Press
    • Park Y., and Lee J. Recovery and sustainability in East Asia. In: Dooley M., and Frankel J. (Eds). Managing Currency Crises in Emerging Markets (2003), University of Chicago Press 275-320
    • (2003) Managing Currency Crises in Emerging Markets , pp. 275-320
    • Park, Y.1    Lee, J.2
  • 82
    • 33847646358 scopus 로고    scopus 로고
    • Imperfect competition, information heterogeneity, and financial contagion
    • Pasquariello P. Imperfect competition, information heterogeneity, and financial contagion. Review of Financial Studies 20 (2007) 391-426
    • (2007) Review of Financial Studies , vol.20 , pp. 391-426
    • Pasquariello, P.1
  • 85
    • 0002804887 scopus 로고
    • An empirical test of the efficiency of the ADR market
    • Rosenthal L. An empirical test of the efficiency of the ADR market. Journal of Banking and Finance 7 (1983) 17-29
    • (1983) Journal of Banking and Finance , vol.7 , pp. 17-29
    • Rosenthal, L.1
  • 86
    • 0003334402 scopus 로고
    • Real and pseudo-financial crises
    • Capie F., and Wood G. (Eds), St. Martins Press
    • Schwartz A. Real and pseudo-financial crises. In: Capie F., and Wood G. (Eds). Financial Crises and the World Banking System (1986), St. Martins Press 11-31
    • (1986) Financial Crises and the World Banking System , pp. 11-31
    • Schwartz, A.1
  • 87
    • 0002610771 scopus 로고
    • Why not diversify internationally rather than domestically?
    • Solnik B. Why not diversify internationally rather than domestically?. Financial Analyst Journal 30 (1974) 48-54
    • (1974) Financial Analyst Journal , vol.30 , pp. 48-54
    • Solnik, B.1
  • 88
    • 0002846733 scopus 로고    scopus 로고
    • International financial crises: causes, prevention, and cures
    • Summers L. International financial crises: causes, prevention, and cures. American Economic Review Papers and Proceedings 90 (2000) 1-16
    • (2000) American Economic Review Papers and Proceedings , vol.90 , pp. 1-16
    • Summers, L.1
  • 90
    • 0028834583 scopus 로고
    • U.S. equity investment in emerging stock markets. World Bank Economic Review
    • Tesar L., and Werner I. U.S. equity investment in emerging stock markets. World Bank Economic Review 9 (1995) 109-130
    • (1995) , vol.9 , pp. 109-130
    • Tesar, L.1    Werner, I.2
  • 91
    • 0346495396 scopus 로고
    • American depositary receipts: an overview
    • Velli J. American depositary receipts: an overview. Fordham International Law Journal 17 (1994) 38-57
    • (1994) Fordham International Law Journal , vol.17 , pp. 38-57
    • Velli, J.1
  • 92
    • 84993052892 scopus 로고
    • An examination of international equity markets using American depositary receipts
    • Webb S., O, cer D., and Boyd B. An examination of international equity markets using American depositary receipts. Journal of Business Finance and Accounting 22 (1995) 415-430
    • (1995) Journal of Business Finance and Accounting , vol.22 , pp. 415-430
    • Webb, S.1    Ocer, D.2    Boyd, B.3
  • 93
    • 12344298750 scopus 로고    scopus 로고
    • Asymmetric price movements and borrowing constraints: a REE model of crisis, contagion, and confusion
    • Yuan K. Asymmetric price movements and borrowing constraints: a REE model of crisis, contagion, and confusion. Journal of Finance 60 (2005) 379-411
    • (2005) Journal of Finance , vol.60 , pp. 379-411
    • Yuan, K.1
  • 94
    • 33645072225 scopus 로고    scopus 로고
    • Information uncertainty and stock returns
    • Zhang F. Information uncertainty and stock returns. Journal of Finance 61 (2006) 105-137
    • (2006) Journal of Finance , vol.61 , pp. 105-137
    • Zhang, F.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.