Information Effects During the U. S. Subprime Crisis

Jengfang Chen, Chunghuey Huang, Ming-Long Wang and Jia-Chi Cheng

Emerging Markets Finance and Trade, 2010, vol. 46, issue 1, 75-86

Abstract: We investigate the impact of the U. S. subprime crisis on the stock markets of the Asia-Pacific countries on various event dates. Using data from Hong Kong, Indonesia, Malaysia, Singapore, and Taiwan, we find that the subprime crisis negatively affects these stock markets and investor behavior, especially in Hong Kong and Taiwan. In addition, the subprime crisis generally works through more financial linkages than trade linkages. However, when the subsamples are classified according to industry, this result exists only for the banking industry, but both financial and trade linkages become important to explain the impact of the crisis on the manufacturing industry.

Keywords: information effects; MSCI Asia-Pacific Ex-Japan index; U. S. subprime crisis (search for similar items in EconPapers)
Date: 2010
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