How close a relationship does a capital market have with other such markets? The case of Taiwan from the Asian financial crisis |
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Authors: | Chingnun Lee Fu Shuen Shie Chiao Yi Chang |
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Institution: | 1. Graduate Institute of Economics, National Sun Yat-sen University, No. 70, Lienhai Rd., Kaohsiung 804, Taiwan, ROC;2. Department of Finance, National Taichung University of Science and Technology, No. 129 Sec. 3, Sanmin Road, Taichung City 404, Taiwan, ROC;3. Department of Insurance and Finance, National Taichung University of Science and Technology, No. 129 Sec. 3, Sanmin Road, Taichung City 404, Taiwan, ROC |
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Abstract: | In assessing how far and how close the relationships are between the Taiwan capital market and other international capital markets in Asian financial case, we examine the co-movement patterns by developing the “unequal variance test”. We find that a closer relationship exists between Taiwan and Hong Kong throughout the sample period than between Taiwan and other Asian countries and the US. It thus appears that adjacent regions with similar backgrounds in terms of their capital markets will reflect price patterns that are more similar to those of Taiwan than those of countries with which Taiwan frequently trades or cooperates. |
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