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Stock Market Interdependence and Trade Relations: A Correlation Test for the U.S. and Its Trading Partners

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Author Info
Steven Zongshin Liu () (Professor, Department of Economics, Feng Chia University, Taiwan.)
Kung-Cheng Lin () (Associated Professor, Department of Public Finance, Feng Chia University, Taiwan.)
Sophia Meiying Lai () (Ph.D. Candidate, Department of Economics, Feng Chia University, Taiwan)
Abstract

Based on the well-established trade relations between the U.S. and its major trading partners, this paper examines the robustness of the trade relation hypothesis which, in some recent studies, argues that difference in trade relations among countries can significantly explain difference in the stock market interdependence. The generalized VDC analysis is employed to measure the stock market interdependence, and the correlation test with bootstrap procedure is applied to test the hypothesis. The results indicate that the hypothesis is hardly as a general rule.

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File URL: http://economicsbulletin.vanderbilt.edu/2006/volume7/EB-06G10022A.pdf
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Publisher Info
Article provided by Economics Bulletin in its journal Economics Bulletin.

Volume (Year): 7 (2006)
Issue (Month): 5 ()
Pages: 1-15
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ebl:ecbull:v:7:y:2006:i:5:p:1-15

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Related research
Keywords: Correlation test; Generalized VDC; Stock market interdependence; Trade relation;

Find related papers by JEL classification:
G1 - Financial Economics - - General Financial Markets
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General

References listed on IDEAS
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