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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

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  • Lee, Chingnun
  • Shie, Fu Shuen
  • Chang, Chiao Yi

Abstract

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.

Suggested Citation

  • Lee, Chingnun & Shie, Fu Shuen & Chang, Chiao Yi, 2012. "How close a relationship does a capital market have with other such markets? The case of Taiwan from the Asian financial crisis," Pacific-Basin Finance Journal, Elsevier, vol. 20(3), pages 349-362.
  • Handle: RePEc:eee:pacfin:v:20:y:2012:i:3:p:349-362
    DOI: 10.1016/j.pacfin.2011.11.003
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    Cited by:

    1. repec:eee:joecas:v:12:y:2015:i:2:p:153-161 is not listed on IDEAS
    2. Chang, Ming-Jen & Su, Che-Yi, 2014. "The dynamic relationship between exchange rates and macroeconomic fundamentals: Evidence from Pacific Rim countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 220-246.
    3. Yang, Lixiong & Lee, Chingnun & Shie, Fu Shuen, 2014. "How close a relationship does a capital market have with other markets? A reexamination based on the equal variance test," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 198-226.

    More about this item

    Keywords

    Cointegration; International stock market; Asian financial crisis;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F59 - International Economics - - International Relations, National Security, and International Political Economy - - - Other
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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