Munich Personal RePEc Archive

The interdependence of Taiwanese and Japanese stock prices

Hsieh, Kunlin and Hsieh, Yuching and Hamori, Shigeyuki (2010): The interdependence of Taiwanese and Japanese stock prices.

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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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