How close a relationship does a capital market have with other such markets? The case of Taiwan from the Asian financial crisis

Chingnun Lee, Fu Shuen Shie and Chiao Yi Chang

Pacific-Basin Finance Journal, 2012, vol. 20, issue 3, 349-362

Abstract: In assessing how far and how close the relationships are between the Taiwan capital market and other international capital markets in Asian financial case, we examine the co-movement patterns by developing the “unequal variance test”. We find that a closer relationship exists between Taiwan and Hong Kong throughout the sample period than between Taiwan and other Asian countries and the US. It thus appears that adjacent regions with similar backgrounds in terms of their capital markets will reflect price patterns that are more similar to those of Taiwan than those of countries with which Taiwan frequently trades or cooperates.

Keywords: Cointegration; International stock market; Asian financial crisis (search for similar items in EconPapers)
JEL-codes: C12 C22 F59 G15 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:20:y:2012:i:3:p:349-362

DOI: 10.1016/j.pacfin.2011.11.003

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