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

Yan Leung Stephen CHEUNG, Yin-Wong CHEUNG, Chris C. NG

Research output: Contribution to journalArticle

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. Copyright © 2005 Elsevier Inc. All rights reserved.
Original languageEnglish
Pages (from-to)138-152
JournalJournal of the Japanese and International Economies
Volume21
Issue number1
DOIs
Publication statusPublished - Mar 2007

Fingerprint

currency
financial crisis
equity
market
Asia
Equity markets
Currency
Financial crisis
dollar
interaction
Information structure

Citation

Cheung, Y. L., Cheung, Y. W., & Ng, C. C. (2007). East Asian equity markets, financial crises, and the Japanese currency. Journal of the Japanese and International Economies, 21(1), 138-152. doi: 10.1016/j.jjie.2005.11.003

Keywords

  • Causality
  • Yen effect
  • Market interaction
  • Financial crisis