The Interdependence of Taiwanese and Japanese Stock Prices

Kunlin Hsieh (), Yuching Hsieh () and Shigeyuki Hamori
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Kunlin Hsieh: Kobe University
Yuching Hsieh: Soochow University

Economics Bulletin, 2010, vol. 30, issue 1, 879-892

Abstract: This paper empirically analyzes the relationship among the prices of Taiwanese stocks, Japanese stocks, and crude oil from January 1980 to July 2008. It provides some interesting results: (1) crude oil prices made an impact on Japanese stock prices, while the latter exerted a strong influence on Taiwanese stock prices during the period of Japan's economic growth; (2) however, no causality was observed among the variables during the Japanese economy's "lost decade"; and (3) causality from Japanese stock prices and crude oil prices to Taiwanese stock prices was observed during the period of Japan's economic recovery.

Keywords: Taiwanese stock prices; Japanese stock prices; LA-VAR (search for similar items in EconPapers)
JEL-codes: F4 O1 (search for similar items in EconPapers)
Date: 2010-03-29
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Working Paper: The interdependence of Taiwanese and Japanese stock prices (2010)
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