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Analysis of long-run benefits from international equity diversification between Taiwan and its major European trading partners: an empirical note

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Author Info

  • Tsangyao Chang
  • Chien-Chung Nieh
  • Ching-Chun Wei

Abstract

This paper employs four cointegration test approaches, PO, HI, JJ and KSS, to test for pairwise long-run equilibrium relationships between Taiwan's stock price index and each of the stock price indexes of four European markets - French, German, Dutch, and British stock markets. The results from these four tests are robust and clearly consistent in suggesting that the Taiwan stock market is not pairwise cointegrated with the four European stock markets. This provides strong evidence that there exist long-run benefits for Taiwan investors diversifying in the equity markets of Taiwan's major European trading partners, France, Germany, Holland, and the UK, over the sample period considered from 6 January 1998 to 30 May 2002. These findings could be valuable to Taiwan individual investors and financial institutions holding long-run investment portfolios in the equity markets of France, Germany, Holland, and the UK.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/00036840500427510
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Bibliographic Info

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

Volume (Year): 38 (2006)
Issue (Month): 19 ()
Pages: 2277-2283

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Handle: RePEc:taf:applec:v:38:y:2006:i:19:p:2277-2283

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Cited by:
  1. Tinashe Harry Dumile Kambadza & Zivanemoyo Chinzara, 2012. "Returns Correlation Structure and Volatility Spillovers Among the Major African Stock Markets," Working Papers 305, Economic Research Southern Africa.
  2. Abdul Hakim & Michael McAleer, 2010. "Modelling the interactions across international stock, bond and foreign exchange markets," Applied Economics, Taylor & Francis Journals, vol. 42(7), pages 825-850.
  3. Hüseyin Dağli; & Uğur Sivri & Semra Bank, 2012. "International portfolio diversification opportunities between Turkey and other emerging markets," International Journal of Trade and Global Markets, Inderscience Enterprises Ltd, vol. 5(1), pages 4-23.

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