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The Interdependence of Taiwanese and Japanese Stock Prices

Author

Listed:
  • Kunlin Hsieh

    (Kobe University)

  • Yuching Hsieh

    (Soochow University)

  • Shigeyuki Hamori

    (Kobe University)

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.

Suggested Citation

  • Kunlin Hsieh & Yuching Hsieh & Shigeyuki Hamori, 2010. "The Interdependence of Taiwanese and Japanese Stock Prices," Economics Bulletin, AccessEcon, vol. 30(1), pages 879-892.
    • Handle: RePEc:ebl:ecbull:eb-10-00180
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    References listed on IDEAS

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    More about this item

    Keywords

    Taiwanese stock prices; Japanese stock prices; LA-VAR;
    All these keywords.

    JEL classification:

    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
    • O1 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development

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