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Some lessons from price bubbles and market crashes in Southeast Asia

Some lessons from price bubbles and market crashes in Southeast Asia In this paper we provide an in‐depth comparative analysis of the shares of listed firms in three Southeast Asian stock markets, namely, Indonesia, Malaysia and Thailand, that had experienced the most violent fluctuations in the 1997 market crash. Our purpose is to present broad lessons from the experiences of these countries that could be helpful to understand the behavior of stock markets under severe financial crisis. Several new results are found: (1) There were local price bubbles prior to the market crash in each country. (2) Price momentum may have contributed to the share price increase prior to the crash but not during the period of crisis or the market reversal. (3) The price bubbles in these countries were mainly among the most liquid and most volatile shares. (4) Asset liquidity was found to cause returns to behave differently in quiet versus extraordinary period. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Managerial Finance Emerald Publishing

Some lessons from price bubbles and market crashes in Southeast Asia

James S. Ang; Alireza Tourani‐Rad; Jean C. Yu
Managerial Finance , Volume 30 (7): 18 – Jul 1, 2004
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References (28)

Publisher
Emerald Publishing
Copyright
Copyright © 2004 Emerald Group Publishing Limited. All rights reserved.
ISSN
0307-4358
DOI
10.1108/03074350410769146
Publisher site
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Abstract

In this paper we provide an in‐depth comparative analysis of the shares of listed firms in three Southeast Asian stock markets, namely, Indonesia, Malaysia and Thailand, that had experienced the most violent fluctuations in the 1997 market crash. Our purpose is to present broad lessons from the experiences of these countries that could be helpful to understand the behavior of stock markets under severe financial crisis. Several new results are found: (1) There were local price bubbles prior to the market crash in each country. (2) Price momentum may have contributed to the share price increase prior to the crash but not during the period of crisis or the market reversal. (3) The price bubbles in these countries were mainly among the most liquid and most volatile shares. (4) Asset liquidity was found to cause returns to behave differently in quiet versus extraordinary period.

Journal

Managerial Finance – Emerald Publishing

Published: Jul 1, 2004

Keywords: Stock market; Market pricing; Pricing; Indonesia; Malaysia; Thailand

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