This paper develops and estimates a behavioural model spanning two equity markets, with boundedly rational representative agents. These fund managers use three different types of information and change the relative weights on the information sources. The model is estimated for Hong Kong and Thailand, in the period surrounding the Asian crisis. We find that fund managers are boundedly rational in their expectation formation strategy and that they switch between information sources conditional on the price impact of these information sources in previous periods. The model shows that the crisis is triggered in Thailand as a result of an increased focus on the fundamental price, and aggravated by a subsequent focus on technical analysis. Furthermore, it is shown that the crisis spills to the Hong Kong market as a result of increased attention for foreign markets; therefore, there is evidence of shift-contagion.