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How close a relationship does a capital market have with other such markets? The case of Taiwan from the Asian financial crisis

  • Lee, Chingnun
  • Shie, Fu Shuen
  • Chang, Chiao Yi
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    In assessing how far and how close the relationships are between the Taiwan capital market and other international capital markets in Asian financial case, we examine the co-movement patterns by developing the “unequal variance test”. We find that a closer relationship exists between Taiwan and Hong Kong throughout the sample period than between Taiwan and other Asian countries and the US. It thus appears that adjacent regions with similar backgrounds in terms of their capital markets will reflect price patterns that are more similar to those of Taiwan than those of countries with which Taiwan frequently trades or cooperates.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0927538X11000795
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    Article provided by Elsevier in its journal Pacific-Basin Finance Journal.

    Volume (Year): 20 (2012)
    Issue (Month): 3 ()
    Pages: 349-362

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    Handle: RePEc:eee:pacfin:v:20:y:2012:i:3:p:349-362
    Contact details of provider: Web page: http://www.elsevier.com/locate/pacfin

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