Financial and real sector returns, IMF-related news, and the Asian crisis.

We investigate how investors trading in financial and real sectors of a stock market react to IMF announcements during abnormal times, such as a financial crisis. To do so, we examine the impact of IMF-program and negotiation news on financial and real stock sectors in Indonesia, Korea and Thailand during the Asian crisis using time-varying models. The results indicate that IMF actions affect sector returns differently suggesting different wealth effects of IMF programs on investor wealth. [ABSTRACT FROM AUTHOR]