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 USA

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 , : 193 – 208 .
   Web of Science ®Google Scholar
• Arshanapalli , B. , Doukas , J. and Lang , Larry H. P. 1995 . Pre and post-1987 stock market linkages between US and Asian markets . Pacific-Basin Finance Journal , 3 : 57 – 73 .
   Google Scholar
• Campbell , J. and Perron , P. 1991 . “ What macroeconomisls should know about unit roots ” . In NBER macroeconomics annual , Edited by: Blanchard , O. and Fish , S. Cambridge, MA : MIT Press .
   Google Scholar
• Chan , K. C. , Gup , B. E. and Pan , M. S. 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. and Fang , W.-S. 2000 . Are there any long-run gains from international equity diversification? Taiwan evidence from Johansen's multivariate cointegration tests . Applied Financial Economics , in Review
   Google Scholar
• Chowdhury , A. R. 1994 . Stock market interdependencies evidence from the Asian NIEs . Journal of Macroeconomics , 16 : 629 – 651 .
   Web of Science ®Google Scholar
• Engle , R. and Granger , C. W. J. 1987 . Cointegration and error correction: representation, estimation, and testing . Econometrica , 55 : 251 – 276 .
   Web of Science ®Google Scholar
• Granger , C. W. J. 1986 . Developments in the study of co–integrated economic variables . Oxford Bulletin of Economics and Statistics , 48 : 213 – 228 .
   Web of Science ®Google Scholar
• Granger , C. W. J. 1988 . Some recent developments in a concept of causality . Journal of Econometrics , 39 : 199 – 211 .
   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 – 152 . Oxford : Oxford University Press .
   Google Scholar
• Johansen , S. 1988 . Statistical analysis of cointegration vectors . Journal of Economic Dynamics and Control , 12 : 231 – 254 .
   Web of Science ®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. 1998a . Long–run benefits from international equity diversification: a note on the Canadian evidence . Applied Economics Letters , 5 : 659 – 663 .
   Web of Science ®Google Scholar
• Kanas , A. 1998b . Linkages between the US and European equity markets: further evidence from cointegration tests . Applied Financial Economics , 8 : 607 – 614 .
   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
• Kasa , K. 1992 . Common stochastic trends in international stock markets . Journal of Monetary Economics , 29 : 95 – 124 .
   Web of Science ®Google Scholar
• Kwan , A. C. C. , Sim , A.-B. and Cotsomitis , J. A. 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 – 178 .
   Web of Science ®Google Scholar
• Lee , B.-S. and Jeon , B. N. 1995 . Common stochastic trends and predictability of international stock prices . Journal of the Japanese and International Economics , 9 : 245 – 277 .
   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. and Granger , C. W. J. Oxford University Press .
   Google Scholar
• Masih , A. M. M. 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
• Nelson , C. R. and Plosser , C. I. 1982 . Trends and random walks in macroeconomic time series . Journal of Monetary Economics , 10 : 139 – 162 .
   Web of Science ®Google Scholar
• Newey , W. and West , K. 1987 . A simple, positive semi–definite, heteroskedasticy 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 – 472 .
   Web of Science ®Google Scholar
• Phillips , P. C. B. and Perron , P. 1988 . Testing for a unit root in time series regression . Biometrika , 75 : 335 – 346 .
   Web of Science ®Google Scholar
• Phillips , P. C. B. and Ouliaris , S. 1990 . Asymptotic properties of residual based tests for cointegration . Econometrica , 58 : 165 – 193 .
   Web of Science ®Google Scholar
• Roger , J. H. 1994 . Entry barries and price movements between major and emerging stock markets . Journal of Macroeconomics , 16 : 221 – 241 .
   Web of Science ®Google Scholar
• Sims , C. A. 1980 . Macroeconomics and reality . Econometrica , 48 : 1 – 48 .
   Web of Science ®Google Scholar
• Taylor , M. P. and Tonks , I. 1989 . The internationalization of stock markets and the abolition of UK exchange control . Review of Economics and Statistics , 71 : 332 – 336 .
   Web of Science ®Google Scholar