International equity diversification between Japan and its major trading partners

Tsangyao Chang, Chien-Wen Mo and Wen-Chi Liu

Applied Economics Letters, 2009, vol. 16, issue 14, 1433-1437

Abstract: This study attempts to re-investigate whether there exist long-run benefits from international equity diversification between Japan and its major trading partners, Asian countries (Malaysia, Singapore, South Korea and Taiwan) and the USA, using a more powerful nonparametric cointegration test developed by Bierens (1997), over the period 1 July 1999 to 31 December 2004. The results from this test suggest that the Japanese stock market is pairwise cointegrated with the Malaysia, Singapore, Taiwan and the US stock market but not with the market of South Korea. These findings should prove valuable to individual investors and financial institutions holding long-run investment portfolios in these markets.

Date: 2009
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:16:y:2009:i:14:p:1433-1437

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/17446540802597212

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().