This paper analyzes three important issues related to the Asian financial crisis. First, was capital mobility increasing in this area during the 1990s? Second, was there a sudden increase of capital-market risk in those countries? Finally, is there any evidence of contagion in the Asian capital market? Using monthly time-series data, we find that capital mobility had been rapidly increasing before the crisis; there was a sudden increase in capital-market risk; and there is evidence of contagion in the Asian capital market from Thailand to other Asian countries. (C) 2002 Elsevier Science B.V. All rights reserved.