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Are there any long-run benefits from international equity diversification for Taiwan investors diversifying in the equity markets of its major trading partners, Hong Kong, Japan, South Korea, Thailand and the USA

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  • Tsangyao Chang

Abstract

This note provides evidence that there exist long-run benefits for Taiwan investors from diversifying in the equity markets of the Hong Kong, Japan, South Korea, Thailand and the USA over the period of 6 January 1997 to 30 December 1998. The evidence is based on tests for pairwise cointegration between the Taiwan national stock price index and the stock price indexes for the Hong Kong, Japan, South Korea, Thailand and the US markets, using three cointegrating tests, namely the Multivariate Trace statistic P z, Harris-Inder approach, and the Johansen method. The results from these three tests are robust and consistent in suggesting that the Taiwan stock market is not pairwise cointegrated with the Hong Kong, Japan, South Korea, Thailand and the US stock markets. These findings could be valuable to Taiwan individual investors and financial institutions holding long-un investment portfolios in the Hong Kong, Japan, South Korea, Thailand and the US equity markets.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 8 (2001)
Issue (Month): 7 ()
Pages: 441-446

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Handle: RePEc:taf:apeclt:v:8:y:2001:i:7:p:441-446

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Cited by:
  1. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2009. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working Papers, University of Nevada, Las Vegas , Department of Economics 0905, University of Nevada, Las Vegas , Department of Economics.
  2. Phengpis, Chanwit, 2006. "Market efficiency and cointegration of spot exchange rates during periods of economic turmoil: Another look at European and Asian currency crises," Journal of Economics and Business, Elsevier, Elsevier, vol. 58(4), pages 323-342.
  3. Chancharat,Surachai & Valadkhani, Abbas, 2007. "An Empirical Analysis of the Thai and Major International Stock Markets," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia wp07-13, School of Economics, University of Wollongong, NSW, Australia.
  4. Fredj Jawadi & Mondher Bellalah, 2011. "Nonlinear mean reversion in oil and stock markets," Review of Accounting and Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 10(3), pages 316-326, August.
  5. Jawadi, Fredj & Leoni, Patrick, 2009. "Threshold cointegration relationships between oil and stock markets," Discussion Papers of Business and Economics 3/2009, Department of Business and Economics, University of Southern Denmark.

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