American Journal of Applied Sciences

The Mechanism of Stock Market Integration: Evidence for the Taiwan and U.S. Stock Market

Min-Hsien Chiang, Rung-Ho Lai and Hsiao-Ching Lee

DOI : 10.3844/ajassp.2004.1.4

American Journal of Applied Sciences

Volume 1, Issue 1

Pages 1-4

Abstract

This study investigates the sources of the comovement of the Taiwan and U.S. stock market. 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.

Copyright

© 2004 Min-Hsien Chiang, Rung-Ho Lai and Hsiao-Ching Lee. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.