Abstract
This study provides an overview of six stock markets in Asia, including Hong Kong, Korea, Malaysia, Singapore, Taiwan, and Thailand. We find that the Asian stock exchanges have adopted numerous new concepts in terms of market structure, trading method, and the clearing and settlement system. As a group, they provide an interesting setting for empirical investigation due to their unique characteristics not found in the stock exchanges in advanced countries.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Amihud, Y., and Mendelson, Y. “Trading Mechanisms and Stock Returns: An Empirical Investigation.” Journal of Finance 42 (July 1987), 533–553.
Amihud, Y., and Mendelson, H. “Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market.” Journal of Finance 45 (December 1991), 1765–1789.
Broker, G. “Market Automation and Its Implications for Regulatory Activity.” OECD Working Paper presented at the 14th Annual Conference of IOSCO, September 1989, in Venice, Italy.
Chang, R.P., Fukuda, X, Rhee, S.G., and Takano, M. “Intraday and Interday Behavior of the TOPIX.” Forthcoming in Pacific-Basin Finance Journal.
Chung, J.R. “Price Limit System and Volatility of Korean Stock Markets.” Pacific-Basin Capital Markets Research, Volume II (edited by S.G. Rhee and R.P. Chang). Amsterdam: Elsevier Science Publishers B.V. (North-Holland), 1991, 283–294.
Cohen, J. “Federal Reserve Margin Requirements and the Stock Market.” Journal of Financial and Quantitative Analysis (September 1966), 30–54.
Domowitz, I. “The Mechanics of Automated Trade Execution Systems.” Journal of Financial Intermediation (1990), 167–194.
Fact Book 1992. Hong Kong: The Stock Exchange of Hong Kong Ltd., 1992.
Fact Book for the Year 1991. New York: The New York Stock Exchange, 1992.
Fact Book 1992. Seoul: The Korea Stock Exchange, 1992.
Fact Book ‘91. Bangkok: The Securities Exchange of Thailand, 1991.
Fact Book 1991. Singapore: The Stock Exchange of Singapore, 1991.
Fact Book 1992. Taipei: The Taiwan Stock Exchange, 1992.
Fact Book 1992. Tokyo: The Tokyo Stock Exchange, 1992.
Ferris, S., and Chance, D. “Margin Requirements and Stock Market Volatility.” Economic Letters (1988), 251–254.
Fischel, D.R. “Should One Agency Regulate Financial Markets?” in Black Monday and the Future of Financial Markets (Edited by R.W. Kamphuis Jr., R.C. Kormendi, and J.W. Henry Watson). Homewood, Ill.: Irwin, 1989, 113–120.
Hardouvelis, G. “Margin Requirements, Volatility, and the Transitory Components of Stock Prices.” American Economic Review (September 1990), 736–762.
Hardouvelis, G. “Margin Requirements and Stock Market Volatility.” FRBNY Quarterly Review (Summer 1988), 80–89.
Hardouvelis, G., and Peristiani, S. “Do Margin Requirements Matter? Evidence from U.S. and Japanese Stock Markets.” FRBNY Quarterly Review (Winter 1989-90), 16–35.
Hsieh, D.A., and Miller, M.H. “Margin Regulation and Stock Market Volatility.” Journal of Finance (March 1990), 3–29.
Investing in the Stock Market in Malaysia. Kuala Lumpur: The Kuala Lumpur Stock Exchange, 1992.
Largay, J. “100% Margins: Combating Speculation in Individual Security Issues.” Journal of Finance (September 1973), 973–986.
Luckett, D.G. “On the Effectiveness of the Federal Reserve’s Margin Requirements.” Journal of Finance (June 1982), 783–795.
Market Volatility and Investor Confidence. New York: New York Stock Exchange, 1990.
Melamed, L. “Additional View of Panel Members.” In Market Volatility and Investor Confidence. New York: New York Stock Exchange, 1990, E1–E34.
Miller, M.H. “Additional View of Panel Members.” In Market Volatility and Investor Confidence. New York: New York Stock Exchange, 1990, H2 1–2.
Rhee, S.G. Securities Markets and Systemic Risks in Dynamic Asian Economies. Paris: Organisation for Economic Co-Operation and Development Publications, 1992.
Salinger, M.A. “Stock Market Margin Requirements and Volatility: Implications for Regulation of Stock Index Futures.” In Regulatory Reform of Stock and Futures Markets (edited by F.R. Edwards). Norwell, Mass.: Kluwer Academic Publishers Group. A Special Issue of Journal of Financial Services Research (1989), 121–138.
Schwert, G.W. “Margin Requirements and Stock Volatility.” In Regulatory Reform of Stock and Futures Markets (edited by F.R. Edwards). Norwell, Mass.: Kluwer Academic Publishers Group. A Special Issue of Journal of Financial Senices Research (1989), 153–164.
Stock Exchange of Hong Kong. Securities Journal (December 1991).
Stock Exchange of Singapore. SES Journal (January 1992).
Stock Exchange of Thailand. Monthly Reviews (December 1991).
Stoll, H.R. “Principles of Trading Market Structure.” Journal of Financial Services Research 6 (May 1992), 75–106.
Stoll, H.R., and Whaley, R.E. “Stock Market Structure and Volatility.” Review of Financial Studies 3 (1990), 37–71.
Wood, R.A., Mclnish, T.H. and Ord, J.K. “An Investigation of Transactions Data for NYSE Slocks,” Journal of Finance 40 (July 1985), 723–741.
Author information
Authors and Affiliations
Editor information
Rights and permissions
Copyright information
© 1992 Springer Science+Business Media New York
About this chapter
Cite this chapter
Rhee, S.G., Chang, R.P. (1992). The Microstructure of Asian Equity Markets. In: Stoll, H.R. (eds) Microstructure of World Trading Markets. Springer, Dordrecht. https://doi.org/10.1007/978-94-011-2180-4_8
Download citation
DOI: https://doi.org/10.1007/978-94-011-2180-4_8
Publisher Name: Springer, Dordrecht
Print ISBN: 978-94-010-4965-8
Online ISBN: 978-94-011-2180-4
eBook Packages: Springer Book Archive