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East Asian equity markets, financial crises, and the Japanese currency

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Author Info

  • Cheung, Yan-Leung
  • Cheung, Yin-Wong
  • Ng, Chris C.

Abstract

The paper studies the interactions between the U.S. and four East Asian markets. The focus is on the change in the information structure/flow between these markets triggered by the 1997 Asian financial crisis. It is shown that the information structure during the crisis period was different from that in the non-crisis periods. While the U.S. market led the four East Asian markets before, during, and after the crisis, it was Granger-caused by these markets during the financial crisis period but not in the postcrisis sample. Further, in accordance with concerns reported in the market, the Japanese currency is found to have affected these equity markets during the crisis period. The Japanese yen effect, however, disappeared in the post-crisis sample. The Japanese currency effect is quite robust as it is found from both local currency and U.S. dollar return data and in the presence of Japanese stock returns.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of the Japanese and International Economies.

Volume (Year): 21 (2007)
Issue (Month): 1 (March)
Pages: 138-152

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Handle: RePEc:eee:jjieco:v:21:y:2007:i:1:p:138-152

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Web page: http://www.elsevier.com/locate/inca/622903

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Citations

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Cited by:
  1. Marcel Aloy & Gilles De Truchis & Gilles Dufrénot & Benjamin Keddad, 2013. "Shift-Volatility Transmission in East Asian Equity Markets," Working Papers halshs-00935364, HAL.
  2. Yushi Yoshida, 2010. "Is this time different for Asia?: Evidence from stock Markets," Discussion Papers 40, Kyushu Sangyo University, Faculty of Economics.
  3. Kim-Leng Goh & Yoke-Chen Wong & Kim-Lian Kok, 2005. "Financial Crisis and Intertemporal Linkages Across the ASEAN-5 Stock Markets," Review of Quantitative Finance and Accounting, Springer, vol. 24(4), pages 359-377, June.
  4. Matthew S. Yiu & Wai-Yip Alex Ho & Lu Jin, 2010. "Dynamic Correlation Analysis of Financial Spillover to Asian and Latin American Markets in Global Financial Turmoil," Working Papers 1001, Hong Kong Monetary Authority.

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