East Asian Equity Markets, Financial Crises, and the Japanese Currency

Y.L. Cheung, Y.W. Cheung and K.C. Ng
Additional contact information
Y.L. Cheung: City University of Hong Kong
Y.W. Cheung: University of California, Santa Cruz
K.C. Ng: City University of Hong Kong
Authors registered in the RePEc Author Service: Yin-Wong Cheung

No 32003, Working Papers from Hong Kong Institute for Monetary Research

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.

Keywords: Causality; Yen Effect; Market Interaction; Financial Crisis (search for similar items in EconPapers)
JEL-codes: F31 G11 G14 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2003-02
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Journal Article: East Asian equity markets, financial crises, and the Japanese currency (2007)
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