Note(s): (1) For each market, average weekly returns and standard deviation (in per cent) are computed over the available data, the dates for which are reported in the columns “Start week” and “End week”. The data are reasonably balanced with few missing values, except for Vietnam equity market, for which data start only about August 2000. (2) Over the entire sample period, the equity market for China had the highest volatility in returns but also about the highest average returns, indicating a good connection between risk and return. However, Indonesia evidence high volatility without correspondingly high returns. In this regard, the worst are Thailand and Malaysia with the highest coefficient of variation, indicating very poor returns and relatively higher risk. Vietnam evidences the highest average returns, but these figures are not comparable since they do not include the period of the crisis. (3) Average returns during the crisis (taken here as the period July–December 1997) are substantially lower for almost all the considered East Asian markets. However, it is clear that China was relatively immune to the crisis, while Indonesia, Korea and Malaysia are hardest hit