Comparing the systematic risk of developing and developed countries in East Asia: Empirical evidence from 1997 Asian Financial Crisis

Choi, Hei Ting (2017) Comparing the systematic risk of developing and developed countries in East Asia: Empirical evidence from 1997 Asian Financial Crisis. [Dissertation (University of Nottingham only)]

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Abstract

The global market is becoming increasingly integrated nowadays. Risk becomes a hot topic in regard to markets for researchers. In the view of macroeconomics, countries and institutions highly focus on systematic risk to the degree of being involved into a financial crisis when other financial systems collapse. This paper aims to assess the Asian Financial Crisis that happened in 1997 to 1998, to understand the systematic risk in both developed and developing countries. The purpose of this study is to find out which group was less impacted by systematic risk during the crisis, by understanding how the major two indicators, performance and interconnectedness, would response to systematic risk. Thus, the government can set risk policies to minimize impact of systematic risk with reference to the better performed and less interconnected group as a direction for future stability and consideration.

There are two indicators effectively to estimate systematic risk in this research paper. They are country performance, measured by volatility and mean return, as well as interconnectedness. Six countries’ stock market indices will be examined, with three developed countries (Hong Kong, Taiwan and South Korea), and three developed countries (Malaysia, Philippines and Thailand). The research time period is divided into three periods: pre-crisis period from 31/12/1993 to 30/6/1997 (42 months); during crisis period from 1/7/1997 to 31/7/1998 (13 months); and post crisis period from 1/8/1998 to 31/12/2002 (53 months). Each period is tested separately so as to get the most precise results.

Item Type: Dissertation (University of Nottingham only)
Depositing User: Choi, Hei
Date Deposited: 12 Apr 2018 09:13
Last Modified: 17 Apr 2018 15:13
URI: http://eprints.nottingham.ac.uk/id/eprint/45944

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