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

Stephen Y L CHEUNG*, Yin Wong Cheung, Chris C. Ng

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

13 Citations (Scopus)

Abstract

The paper studies the interactions between the US and four East Asian equity 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 is different from that in the non-crisis periods. While the US market leads the four East Asian markets before, during, and after the crisis, it is Granger-caused by these markets during the financial crisis period but not in the post-crisis sample. Further, in accordance with concerns reported in the market, the Japanese currency is found to affect these equity markets during the crisis period. The Japanese yen effect, however, disappears in the post-crisis sample. The Japanese currency effect is quite robust as it is found from both local currency and US dollar return data and in the presence of Japanese stock returns. J. Japanese Int. Economies 21 (1) (2007) 138-152.

Original languageEnglish
Pages (from-to)138-152
Number of pages15
JournalJournal of the Japanese and International Economies
Volume21
Issue number1
DOIs
Publication statusPublished - Mar 2007

Scopus Subject Areas

  • Finance
  • Economics and Econometrics
  • Political Science and International Relations

User-Defined Keywords

  • Causality
  • Financial crisis
  • Market interaction
  • Yen effect

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