Informational content of stock exchanges versus over-the-counter markets: The behaviour of stock indices around the Asian financial crisis in Japan and Korea

The daily returns of the stock exchange index and the over-the counter (OTC) index in Japan and Korea around the Asian financial crisis are investigated. The stock exchange index contains information on relatively old technology sectors, while the OTC index contains information on relatively new technology sectors. Although previous studies focused only on the performance of the former, the behaviour of these two indices around the crisis is shown to be different. Thus, additional insight is obtained by considering these two market indices at the same time.