IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v8y2001i7p441-446.html
   My bibliography  Save this article

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

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/13504850010001921&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Phengpis, Chanwit, 2006. "Market efficiency and cointegration of spot exchange rates during periods of economic turmoil: Another look at European and Asian currency crises," Journal of Economics and Business, Elsevier, vol. 58(4), pages 323-342.
    2. Fredj Jawadi & Mondher Bellalah, 2011. "Nonlinear mean reversion in oil and stock markets," Review of Accounting and Finance, Emerald Group Publishing, vol. 10(3), pages 316-326, August.
    3. Chancharat,Surachai & Valadkhani, Abbas, 2007. "An Empirical Analysis of the Thai and Major International Stock Markets," Economics Working Papers wp07-13, School of Economics, University of Wollongong, NSW, Australia.
    4. Zhong, Ming & Chang,Tsangyao & Tzeng, Han-Wen, 2014. "International Equity Diversification Between the United States and Brics Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 123-138, March.
    5. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2008. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working papers 2008-49, University of Connecticut, Department of Economics.
    6. Jawadi, Fredj & Leoni, Patrick, 2009. "Threshold cointegration relationships between oil and stock markets," Discussion Papers of Business and Economics 3/2009, University of Southern Denmark, Department of Business and Economics.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:8:y:2001:i:7:p:441-446. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.