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Some lessons from price bubbles and market crashes in Southeast Asia

James S. Ang (Department of Finance, College of Business, Florida State University, Tallahassee, Florida 32306)
Alireza Tourani‐Rad (Faculty of Business, Auckland University of Technology, Private Bag 92006, Auckland 1020, New Zealand)
Jean C. Yu (School of Business Administration, Department of Finance, Oakland University, Rochester, MI 4309)

Managerial Finance

ISSN: 0307-4358

Article publication date: 1 July 2004



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.



Ang, J.S., Tourani‐Rad, A. and Yu, J.C. (2004), "Some lessons from price bubbles and market crashes in Southeast Asia", Managerial Finance, Vol. 30 No. 7, pp. 1-18.



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Copyright © 2004, Emerald Group Publishing Limited

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