简介：Thispaperexaminestherelativestrengthoffactorsinpredictingtheonsetofafinancialcrisisintheemergingmarketduringthe1990s.Weestimateaprobitmodelbasedonthequarterlydataof18countries.Theresultssuggestthatthemis-managementintheeconomyandbankingsystem,theshiftsintheinternationalconditionsandthedepthofcontagioneffectsarestronglyassociatedwiththepresenceofcrises.Someoftheresultsaresomewhatdifferentfromtheotherempiricalstudiesbasedonannualdata.Acarefulanalysisoftheprobabilitydistributionsshowedthattheresultswereclosetobeingcorrectinover90%ofthecases.

简介：ThispaperexaminestheextentofcontagionandinterdependenceacrossthesixAsianemergingcountriesstockmarkets(e.g.,Bangladesh,China,India,Malaysia,thePhilippine,andSouthKorea)andthentrytoquantifytheextentoftheAsianemergingmarketfluctuationswhicharedescribedbyintra-regionalcontagioneffect.Thesemarketsexperiencedbothfastgrowthandkeyupheavalduringthesampleperiod,andthus,providepotentiallyrichinformationonthenatureofbordermarketinteractions.UsingthedailystockmarketindexdatafromJanuary2002toDecember2016(breakingthe15yearsdatasetintothreesubperiods;pre-crisis,crisis,andpostcrisisperiods);particularlymakeattentiontotheglobalfinancialcrisisof2007~2008.ThereturnandvolatilityspilloversaremodeledthroughtheGARCH(generalizedautoregressiveconditionalheteroscedasticity),pairwiseGrangercausalitytests,andtheforecasterrorvariancedecompositioninageneralizedVAR(vectorautoregression)models.Thispapershowsthatvolatilityandreturnspilloversbehaveverydifferentlyovertime,duringthepre-crisis,crisis,andpostcrisisperiods.Importantly,Asianemergingstockmarketsinteractionislessbeforetheglobalfinancialcrisisperiod.Thereturnandvolatilityspilloverindicestouchtheirrespectivehistoricalpeaksduringtheglobalfinancialcrisis2007~2008,howeverBangladeshimarketfacesthisconditionin2009~2010.