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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.

Suggested Citation

  • Tsangyao Chang, 2001. "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," Applied Economics Letters, Taylor & Francis Journals, vol. 8(7), pages 441-446.
    • Handle: RePEc:taf:apeclt:v:8:y:2001:i:7:p:441-446
    DOI: 10.1080/13504850010001921
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    7. Katja Funke & Georg Stadtmann, 2004. "Operations of a Pension Fund after the Asian Crisis: The Thai Experience," Asian Economic Journal, East Asian Economic Association, vol. 18(4), pages 439-470, December.
    8. Jawadi, Fredj & Leoni, Patrick, 2009. "Threshold cointegration relationships between oil and stock markets," Discussion Papers on Economics 3/2009, University of Southern Denmark, Department of Economics.

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