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The interdependence of Taiwanese and Japanese stock prices

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  • Hsieh, Kunlin
  • Hsieh, Yuching
  • Hamori, Shigeyuki

Abstract

This 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 Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 21475.

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Date of creation: Mar 2010
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Handle: RePEc:pra:mprapa:21475

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Keywords: Taiwanese stock prices; Japanese stock prices; LA-VAR;

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  14. Angelos Kanas, 1998. "Volatility spillovers across equity markets: European evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 8(3), pages 245-256.
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