The interdependence of Taiwanese and Japanese stock prices
AbstractThis 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 21475.
Date of creation: Mar 2010
Date of revision:
Taiwanese stock prices; Japanese stock prices; LA-VAR;
Other versions of this item:
- Kunlin Hsieh & Yuching Hsieh & Shigeyuki Hamori, 2010. "The Interdependence of Taiwanese and Japanese Stock Prices," Economics Bulletin, AccessEcon, vol. 30(1), pages 879-892.
- O11 - Economic Development, Technological Change, and Growth - - Economic Development - - - Macroeconomic Analyses of Economic Development
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
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