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The interdependence of Taiwanese and Japanese stock prices

Author

Listed:
  • Hsieh, Kunlin
  • Hsieh, Yuching
  • Hamori, Shigeyuki

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

  • Hsieh, Kunlin & Hsieh, Yuching & Hamori, Shigeyuki, 2010. "The interdependence of Taiwanese and Japanese stock prices," MPRA Paper 21475, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:21475
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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:

    • O11 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Macroeconomic Analyses of Economic Development
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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