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

HKIMR Working Paper No. 03/2003

19 Pages Posted: 4 Sep 2007

See all articles by Yin-Wong Cheung

Yin-Wong Cheung

City University of Hong Kong - Department of Economics & Finance; University of California, Santa Cruz - Department of Economics; University of California at Santa Cruz - Department of Economics

K. C. Ng

affiliation not provided to SSRN

Stephen Yan-Leung Cheung

City University of Hong Kong (CityUHK) - Department of Economics & Finance

Date Written: February 2003

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

Suggested Citation

Cheung, Yin-Wong and Ng, K. C. and Cheung, Stephen Yan-Leung, East Asian Equity Markets, Financial Crises, and the Japanese Currency (February 2003). HKIMR Working Paper No. 03/2003, Available at SSRN: https://ssrn.com/abstract=1009369 or http://dx.doi.org/10.2139/ssrn.1009369

Yin-Wong Cheung

City University of Hong Kong - Department of Economics & Finance ( email )

83 Tat Chee Avenue
Kowloon
Hong Kong

University of California, Santa Cruz - Department of Economics ( email )

435 Engineering 2
Santa Cruz, CA 95064
United States
831-459-4247 (Phone)
831-459-5077 (Fax)

University of California at Santa Cruz - Department of Economics ( email )

1156 High Street
Santa Cruz, CA 95064
United States

K. C. Ng

affiliation not provided to SSRN

No Address Available

Stephen Yan-Leung Cheung (Contact Author)

City University of Hong Kong (CityUHK) - Department of Economics & Finance ( email )

83 Tat Chee Avenue
Kowloon
Hong Kong
+852 2788 7960 (Phone)
+852 2788 8806 (Fax)

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