FINANCIAL INTEGRATION IN EAST ASIAN EQUITY MARKETS

Jing Chi · Martin R. Young

57 citations0/0 files storedPacific Economic Review

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Financial Markets and Investment Strategies Global Financial Crisis and Policies Financial Risk and Volatility Modeling

Abstract

Abstract. This paper examines the degree of financial integration that exists in East Asian equity markets using the International Capital Asset Pricing Model methodology. We employ three market portfolios to test for integration: the weighted average equity index of all sample countries, the Japanese market index and the US market index. The study shows that the level of financial efficiency and the integration of sample countries is high and has improved significantly during 1991 to 2005, and they are more financially integrated within the region and with the Asian leading market (Japan) than with the world leading market (the USA).

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References

2003Stock market integration and financial crises: the case of Asia 2005Stock market integration in ASEAN after the Asian financial crisis 2005East Asian economic regionalism: progress and challenges 2003Are the East Asian markets integrated? Evidence from the ICAPM 2001Equity market linkages in the Asia Pacific region

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