The interdependence of Taiwanese and Japanese stock prices

Kunlin Hsieh, Yuching Hsieh and Shigeyuki Hamori

MPRA Paper from University Library of Munich, Germany

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: F41 O11 (search for similar items in EconPapers)
Date: 2010-03
New Economics Papers: this item is included in nep-ifn
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Related works:
Journal Article: The Interdependence of Taiwanese and Japanese Stock Prices (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:21475

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