Hsieh, Kunlin and Hsieh, Yuching and Hamori, Shigeyuki (2010): The interdependence of Taiwanese and Japanese stock prices.
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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|
|Original Title:||The interdependence of Taiwanese and Japanese stock prices|
|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
|Depositing User:||Shigeyuki Hamori|
|Date Deposited:||19. Mar 2010 22:46|
|Last Modified:||30. Dec 2015 10:34|
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