Open AccessThe Mechanism of Stock Market Integration: Evidence for the Taiwan and U.S. Stock Markets
Author(s) -
Min-Hsien Chiang,
Rung-Ho Lai,
Hsiao-Ching Lee
Publication year - 2004
Publication title -
american journal of applied sciences
Language(s) - English
Resource type - Journals
eISSN - 1554-3641
pISSN - 1546-9239
DOI - 10.3844/ajassp.2004.1.4
Subject(s) - stock (firearms) , stock market , business , stock market bubble , financial economics , economics , geography , context (archaeology) , archaeology
This study investigates sources of the comovement of the Taiwan and U.S. stock markets. The empirical evidence shows that both economic fundamentals and equity risk premiums can act as transmission mechanisms of both markets. In the meantime, the financial integration is much stronger than real economic integration. Moreover, the deregulation of foreign investments in Taiwan and the Southeast Asian financial crisis in 1997 did not alter the transmission mechanisms of real economic and equity risk premium factors.