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CURRENCY MARKET CONTAGION IN THE ASIA-PACIFIC REGION

✍ Scribed by MARDI DUNGEY; RENÉE FRY; VANCE L. MARTIN

Book ID
110972014
Publisher
John Wiley and Sons
Year
2004
Tongue
English
Weight
254 KB
Volume
43
Category
Article
ISSN
0004-900X

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✍ Chu-Sheng Tai 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 326 KB

## Abstract This article tests whether there are pure contagion effects in both conditional means and volatilities among British pound, Canadian dollar, Deutsche mark, and Swiss franc futures markets during the 1992 ERM crisis. A conditional version of international capital asset pricing model (ICA