How close a relationship does a capital market have with other such markets? The case of Taiwan from the Asian financial crisis

• Published in: Pacific-Basin finance journal Vol. 20; no. 3; pp. 349 - 362
• Main Authors: Lee, Chingnun, Shie, Fu Shuen, Chang, Chiao Yi
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 01.06.2012
• Subjects: Asian financial crisis; Cointegration; International stock market; Asian financial crisis; C22; International stock market; C12; Cointegration; G15; F59

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...