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Chi, Ching-Hsin (2006) The Co-Movement among Taiwan and International Stock Market. [Dissertation (University of Nottingham only)] (Unpublished)

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Abstract

This dissertation provides evidence to support the hypothesis that may support that there may be long-term benefits for the Taiwanese investors to diversify in the international equity market. The evidence is based on the data from the stock markets of the United States, Hong Kong and Japanese stock market over the period of 1st January 2001 to 31st December 2005. Time-series analytical techniques were used: Granger Causality test and the vector auto-regression (VAR) models. Analyses of Impulse Response and Variance Decomposition were adopted in order to examine the correlations between the Taiwanese stock market and the other national markets.

It was found that the markets of the United States and Hong Kong stock market significantly influenced the Taiwanese stock market. However, the results indicated that the impact from the United States market fades quickly and thus may not be significant in the long run. The results also suggest that the impact from the Japanese stock market is rather small on the Taiwanese stock market. A co-movement phenomenon between the Taiwanese stock market and the international markets may exist; however, it does not persist over time. Therefore, it has been shown that there may still be benefits from diversifying across international equity markets. This result may be a valuable reference for Taiwanese investors who attempt to apply an international diversification strategy while constructing their portfolios.

Item Type:	Dissertation (University of Nottingham only)
Keywords:	Co-Movement, Diversification, Granger Causality, Vector-Autoregression Model
Depositing User:	EP, Services
Date Deposited:	13 Apr 2007
Last Modified:	13 Oct 2017 07:44
URI:	https://eprints.nottingham.ac.uk/id/eprint/20256

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