1.00
0.75
0.50
0.25
volatility
75
50
25
I I I I I I I 11 I I I I I I I I 11 I I I I I I I I I I I I I I I I I I I I I Il I I I I I I I I I I I I I I I I I I I Il I I I I I I I I I I
0
1994 1995 1996 1997 1998 1999
1.0
0.5
0.0
-0.5
-1.0
correlation
Iiiiiiiiiiiiiiiii Iiiiiiiiiiiiiiiiiiiiiiiiiiiiii Iiiiiiiiiiiiiiiiiiiiiiii
1994 1995 1996 1997 1998 1999
Figure 4: CMAX, instantaneous volatility, covariance and correlation between
stock market returns of Hong Kong and the Philippines. Shaded areas corre-
spond to the periods of crisis defined in the text.
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