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

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  • Lee, Chingnun
  • Shie, Fu Shuen
  • Chang, Chiao Yi
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    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.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0927538X11000795
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    Bibliographic Info

    Article provided by Elsevier in its journal Pacific-Basin Finance Journal.

    Volume (Year): 20 (2012)
    Issue (Month): 3 ()
    Pages: 349-362

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    Handle: RePEc:eee:pacfin:v:20:y:2012:i:3:p:349-362

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    Web page: http://www.elsevier.com/locate/pacfin

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    Keywords: Cointegration; International stock market; Asian financial crisis;

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    1. Arshanapalli, Bala & Doukas, John, 1993. "International stock market linkages: Evidence from the pre- and post-October 1987 period," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 193-208, February.
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    9. Atteberry, William L. & Swanson, Peggy E., 1997. "Equity market integration: The case of North America," The North American Journal of Economics and Finance, Elsevier, vol. 8(1), pages 23-37.
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