Cause and Effect: A Currency Crises Analysis Using the Sharpe Ratio

Abstract

This paper will discuss the macroeconomic causes and market implications of market crashes resulting from the Russian Default and subsequent collapse of Long Term Capital Management as well as the Asian Currency Crisis. It will also seek to examine the relative risk versus return as defined by the Sharpe ratio in developed equities markets versus developing equities markets by comparing returns just prior to and including these and other market crisis of the past 10 years.