Analysis of long-run benefits from international equity diversification between Taiwan and its major European trading partners: an empirical note

References

• Arshanapalli , B and Doukas , J . 1993 . International stock market linkages: evidence from the pre- and post-October 1987 period . Journal of Banking and Finance , 17 : 193 – 208 .
   Web of Science ®Google Scholar
• Campbell , J and Perron , P . 1991 . “ What macroeconomists should know about unit roots ” . In NBER Macroeconomics Annual , Edited by: Blanchard , O. and Fish , S. Cambridge, MA : MIT Press .
   Google Scholar
• Chan , KC , Gup , BE and Pan , MS . 1992 . An empirical analysis of stock prices in major Asian markets and the United States . The Financial Review , 27 : 289 – 308 .
   Google Scholar
• Chang , T . 2001 . Are there any long-run benefits from international equity diversification for Taiwan investors diversifying in the equity markets of its major trading partners, Hong Kong, Japan, South Korea, Thailand and the US . Applied Economics Letters , 8 : 441 – 46 .
   Web of Science ®Google Scholar
• Chowdhury , AR . 1994 . Stock market interdependencies: evidence from the Asian NIEs . Journal of Macroeconomics , 16 : 629 – 51 .
   Web of Science ®Google Scholar
• Elliott , G , Thomas , JR and Stock , JH . 1996 . Efficient tests for an autoregressive unit root . Econometrica , 64 : 813 – 36 .
   Web of Science ®Google Scholar
• Engle , R and Granger , CWJ . 1987 . Cointegration and error correction: representation, estimation, and testing . Econometrica , 55 : 251 – 76 .
   Web of Science ®Google Scholar
• Granger , CWJ . 1986 . Developments in the study of co-integrated economic variables . Oxford Bulletin of Economics and Statistics , 48 : 213 – 28 .
   Web of Science ®Google Scholar
• Harris , D and Inder , B . 1994 . “ A test of the null hypothesis of cointegration ” . In Nonstationary Time Series Analysis and Cointegration , Edited by: Hargreaves , C. 133 – 52 . Oxford : Oxford University Press .
   Google Scholar
• Johansen , S and Juselius , K . 1990 . Maximum likelihood estimation and inference on cointegration – with applications to the demand for money . Oxford Bulletin of Economics and Statistics , 52 : 169 – 210 .
   Web of Science ®Google Scholar
• Kanas , A . 1998 . Long-run benefits from international equity diversification: a note on the Canadian evidence . Applied Economics Letters , 5 : 659 – 63 .
   Web of Science ®Google Scholar
• Kanas , A . 1999 . A note on the long-run benefits from international equity diversification for a UK investor diversifying in the US equity market . Applied Economics Letters , 6 : 47 – 53 .
   Web of Science ®Google Scholar
• Kapetanios , G , Shin , Y and Snell , A . 2003 . Testing for cointegration in nonlinear STAR error correction models . 2003 . Working Paper , Queen Mary, University of London .
   Google Scholar
• Kasa , K . 1992 . Common stochastic trends in international stock markets . Journal of Monetary Economics , 29 : 95 – 124 .
   Web of Science ®Google Scholar
• Kwan , ACC , Sim , A-B and Cotsomitis , JA . 1995 . The causal relationships between equities on world exchanges . Applied Economics , 27 : 33 – 37 .
   Web of Science ®Google Scholar
• Kwiatkowski , D , Phillips , P , Schmidt , P and Shin , Y . 1992 . Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root? . Journal of Econometrics , 54 : 159 – 78 .
   Web of Science ®Google Scholar
• Lee , B-S and Jeon , BN . 1995 . Common stochastic trends and predictability of international stock prices . Journal of the Japanese and International Economics , 9 : 245 – 77 .
   Web of Science ®Google Scholar
• Luukkonen , R , Saikkonen , P and Terasvirta , T . 1988 . Testing linearity against smooth transition autoregressive models . Biometrika , 75 : 491 – 99 .
   Web of Science ®Google Scholar
• Mackinnon , J . 1991 . “ Critical values for cointegration tests in long-run economic relationships ” . In Readings in Cointegration , Edited by: Engle , R. F. and Granger , C. W. J. 267 – 76 . Oxford : Oxford University Press .
   Google Scholar
• Masih , AMM and Masih , R . 1997 . A comparative analysis of the propagation of the market fluctuations in alternative models of dynamic causal linkages . Applied Financial Economics , 7 : 59 – 74 .
   Google Scholar
• Newey , W and West , K . 1987 . A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix . Econometrica , 55 : 703 – 708 .
   Web of Science ®Google Scholar
• Osterwald-Lenum , M . 1992 . A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics . Oxford Bulletin of Economics and Statistics , 54 : 461 – 72 .
   Web of Science ®Google Scholar
• Phillips , PCB and Perron , P . 1988 . Testing for a unit root in time series regression . Biometrika , 75 : 335 – 46 .
   Web of Science ®Google Scholar
• Phillips , PCB and Ouliaris , S . 1990 . Asymptotic properties of residual based tests for cointegration . Econometrica , 58 : 165 – 93 .
   Web of Science ®Google Scholar
• Taylor , MP and Tonks , I . 1989 . The internationalization of stock markets and the abolition of UK exchange control . Review of Economics and Statistics , 71 : 332 – 36 .
   Web of Science ®Google Scholar