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The stability of portfolio investment in stock market crashes with Markowitz portfolio is investigated by the method of theoretical and empirical simulation. From numerical simulation of the mean escape time (MET), we conclude that: (i) The increasing number of stocks in Markowitz portfolio induces a maximum in the curve of MET versus the initial position; (ii) A critical value of in the behavior of MET versus the long-run variance or amplitude of volatility fluctuations maximumlly enhances the stability of portfolio investment. When takes value below the critical value, the increasing enhances the stability of portfolio investment, but restrains it when takes value above the critical value. In addition, a good agreement of both the MET and probability density functions of returns is found between real data and theoretical results. [ABSTRACT FROM AUTHOR]

We investigate the impact of the IMF-supported structural reform program in the 1997 Asian crisis on stock market efficiency using the before-after, with-without and event study approaches by applying a time-varying parameter model to eight Asian stock markets. All the supported countries, including Indonesia and Korea, but not Thailand, experienced significantly improved market efficiency after the implementation of the program, implying a positive effect of the program according to the before-after approach. Among the nonsupported countries, China, Taiwan and Malaysia did not improve efficiency (however, Hong Kong and Singapore did) after the start of the crisis, providing some evidence of a positive effect according to the with-without approach. The Thailand, Indonesia and Korean markets showed positive abnormal returns on the days or days following policy announcements in this IMF-supported program, indicating positive effects of the policy according to the event study approach. These findings suggest that the IMF program was successful during the 1997 Asian financial crisis and that it was helpful in resolving the recent global financial crisis. [ABSTRACT FROM AUTHOR]