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.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Taiwanese stock prices; Japanese stock prices; LA-VAR
• Subjects: O - Economic Development, Innovation, Technological Change, and Growth > O1 - Economic Development > O11 - Macroeconomic Analyses of Economic Development; F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F41 - Open Economy Macroeconomics

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