淡江大學機構典藏:Item 987654321/23741
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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/23741


    Title: Analysis of long-run benefits from international equity diversification between Taiwan and its major European trading partners: an empirical note
    Authors: Chang, Tsang-yao;聶建中;Nieh, Chien-chung;Wei, Ching-chun
    Contributors: 淡江大學財務金融學系
    Date: 2006-10-01
    Issue Date: 2009-11-30 17:51:34 (UTC+8)
    Publisher: Taylor & Francis
    Abstract: This paper employs four cointegration test approaches, PO, HI, JJ and KSS, to test for pairwise long-run equilibrium relationships between Taiwan's stock price index and each of the stock price indexes of four European markets – French, German, Dutch, and British stock markets. The results from these four tests are robust and clearly consistent in suggesting that the Taiwan stock market is not pairwise cointegrated with the four European stock markets. This provides strong evidence that there exist long-run benefits for Taiwan investors diversifying in the equity markets of Taiwan's major European trading partners, France, Germany, Holland, and the UK, over the sample period considered from 6 January 1998 to 30 May 2002. These findings could be valuable to Taiwan individual investors and financial institutions holding long-run investment portfolios in the equity markets of France, Germany, Holland, and the UK.
    Relation: Applied Economics 38(19), pp.2277-2283
    DOI: 10.1080/00036840500427510
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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