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Informational content of stock exchanges versus over-the-counter markets: the behaviour of stock indices around the Asian financial crisis in Japan and Korea

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  • Kenji Wada

Abstract

The daily returns of the stock exchange index and the over-the counter (OTC) index in Japan and Korea around the Asian financial crisis are investigated. The stock exchange index contains information on relatively old technology sectors, while the OTC index contains information on relatively new technology sectors. Although previous studies focused only on the performance of the former, the behaviour of these two indices around the crisis is shown to be different. Thus, additional insight is obtained by considering these two market indices at the same time

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  • Kenji Wada, 2004. "Informational content of stock exchanges versus over-the-counter markets: the behaviour of stock indices around the Asian financial crisis in Japan and Korea," Applied Economics Letters, Taylor & Francis Journals, vol. 11(15), pages 949-955.
    • Handle: RePEc:taf:apeclt:v:11:y:2004:i:15:p:949-955
    DOI: 10.1080/1350485042000291358
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    References listed on IDEAS

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    1. Sheng, Hsiao-Ching & Tu, Anthony H., 2000. "A study of cointegration and variance decomposition among national equity indices before and during the period of the Asian financial crisis," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 345-365, December.
    2. Nagayasu, Jun, 2001. "Currency crisis and contagion: evidence from exchange rates and sectoral stock indices of the Philippines and Thailand," Journal of Asian Economics, Elsevier, vol. 12(4), pages 529-546.
    3. Wenshwo Fang, 2002. "The effects of currency depreciation on stock returns: evidence from five East Asian economies," Applied Economics Letters, Taylor & Francis Journals, vol. 9(3), pages 195-199.
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