Behavioural heterogeneity and shift-contagion: Evidence from the Asian crisis

Eelke De Jong, Willem F C Verschoor*, Remco C J Zwinkels

*Corresponding author for this work

Research output: Contribution to JournalArticleAcademicpeer-review


In this paper, we propose an empirical model based on the heterogeneous agents literature. Price changes are induced by fundamental, technical, and international factors. The model is estimated for Hong Kong and Thailand surrounding the Asian crisis. We find that the three sources are relevant and that their relative price impact fluctuates conditional on price impact in the previous period. Results imply that the crisis is triggered in Thailand due to an increased focus on the fundamental price, followed by an increase in chartism and finally aggravated by a focus on foreign developments. Furthermore, the crisis deepens in Hong Kong because of increased attention for foreign markets.

Original languageEnglish
Pages (from-to)1929-1944
Number of pages16
JournalJournal of Economic Dynamics and Control
Issue number11
Publication statusPublished - Nov 2009


  • Asian crisis
  • Contagion
  • Dynamic models
  • Heterogeneous expectations

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