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This study uses a cointegration analysis and vector autoregressivemodels to investigate the transmission of stock price movements amongTaiwan and its major trading partners, Hong Kong, Japan and the UnitedStates. The results of Johansen cointegration test indicate that fourstock markets considered are cointegrated with one cointegratingvector, which violates the semi-strong form of the market efficiencyhypothesis. The results from Granger-causality test based onerror-correction models suggest the relative leading roles of theU.S. and Japanese markets in driving fluctuations in the other twomarkets. In order to capture the impacts of the economic shocks, twodummy variables are incorporated into the models taking into accountthe U.S. stock crash of October 1997 (D97) and the previous spreadingAsian finance crises (Dac). The results indicate that D97significantly affects the U.S. stock market, but shows no significantimpact on the others. The Dac, however, shows significant impacts onboth the Japanese and the U.S. markets. The robustness of the relativeleading roles of the U.S. and Japanese markets are further supportedby the variance decompositions and impulsive response functionsindicators. The Taiwan and Hong Kong markets are somewhat affected moreby regional countries such as Japan than by the U.S.
Review of Pacific Basin Financial Markets and Policies – World Scientific Publishing Company
Published: Dec 1, 2001
Keywords: Stock price Market efficiency hypothesis Causality based on ECM Impulse response Variance decomposition
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