{'fraction_non_alphanumeric': 0.032504780114722756, 'fraction_numerical': 0.0019120458891013384, 'mean_word_length': 5.8431372549019605, 'pattern_counts': {'":': 0, '<': 0, '<?xml version=': 0, '>': 0, 'https://': 0, 'lorem ipsum': 0, 'www.': 0, 'xml': 0}, 'pii_count': 0, 'substrings_counts': 0, 'word_list_counts': {'cursed_substrings.json': 0, 'profanity_word_list.json': 0, 'sexual_word_list.json': 0, 'zh_pornsignals.json': 0}}
Taiwan and U.S. Equity Market Interdependence and Contagion: Evidence from Four-Factor Model

A four-factor model is used to measure the interdependenceâ€™s co-movement and crisisâ€™ contagion effect on portfolio returns of 23 Taiwanese industries during tranquil and the U.S. subprime mortgage crisis periods. By incorporating the control variables of economic and financial fundamentals, we deconstruct the relevance of returns on industrial assetsâ€™ channels. The empirical results show that the co-movement effect on Taiwanâ€™s industrial portfolios returns are affected by global, regional, and domestic factors. Additionally, in the subprime mortgage crisis period, the contagion effect of Taiwanâ€™s industrial portfolios returns was affected by the domestic and crisis factor. Based on our empirical study, the transmission of Taiwanâ€™s industrial portfolio returns channel is significantly impacted by the instrument variables of interest rate, trade integration, political stability, and government budgets of the economy fundamentals