Investor wealth,the IMF,and the Asian crisis |
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| Institution: | 1. Southern Illinois University Edwardsville, Alumni Hall, Room 3143, Edwardsville, IL 62026-1102, United States;2. Borsa Istanbul, Turkey;3. Emerging Market Group (EMG), The Sir Cass Business School, London, United Kingdom;4. William Davidson Institute (WDI), University of Michigan Business School, United States;5. Center for European Integration Studies (ZEI), University of Bonn, Germany;6. Queen Mary, University of London, London E1 4NS, United Kingdom;7. Behavioural Finance Working Group (BFWG), United Kingdom;1. Department of Finance and Accounting, Surrey Business School, University of Surrey, Guildford, Surrey GU2 7XH, UK;2. Lancaster University Management School, Lancaster LA1 4YX, UK;1. Mendoza College of Business, University of Notre Dame, Notre Dame, IN, 46556, United States;2. Hankamer School of Business, Baylor University, Waco, TX 76798-8004, United States;1. Deloitte Tax LLP, 1633 Broadway, New York, NY 10019, USA;2. Department of Economics and Decision Sciences, HEC Paris, 78351 Jouy-en-Josas, France;3. Department of Finance, HEC Paris, 78351 Jouy-en-Josas, France |
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| Abstract: | This study further investigates the impact of IMF actions on stock markets during the Asian crisis. Extending two earlier studies by Kho and Stulz (2000) and Evrensel and Kutan (2007), we investigate the long-term shareholder wealth impact of IMF actions and programs on both financial and real sector returns in the stock markets of Thailand, Indonesia, and Korea. We perform a series of tests employed in Cornett and Tehranian (1989, 1990) that incorporate heteroscedasticity across sectors and contemporaneous dependence of the disturbances. The findings indicate that IMF actions regarding liquidity disbursement or liquidity concerns in markets are the most important events affecting abnormal returns and hence investor wealth in both real and financial sectors. However, the response of the financial sector to IMF actions is much stronger than that of the real sector. In addition, the results suggest moral hazard effects during the Asian crisis in all the three countries. |
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