Financial Integration in East Asian Equity Markets

14 Pages Posted: 7 Dec 2006

See all articles by Jing Chi

Jing Chi

Massey University - School of Economics and Finance

Ke Li

Nihon University

Martin R. Young

Massey University - School of Economics and Finance

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).

Suggested Citation

Chi, Jing and Li, Ke and Young, Martin R., Financial Integration in East Asian Equity Markets. Pacific Economic Review, Vol. 11, No. 4, pp. 513-526, December 2006, Available at SSRN: https://ssrn.com/abstract=950096 or http://dx.doi.org/10.1111/j.1468-0106.2006.00332.x

Jing Chi

Massey University - School of Economics and Finance ( email )

Private Bag 11-222
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Ke Li (Contact Author)

Nihon University ( email )

Tokyo
Japan

Martin R. Young

Massey University - School of Economics and Finance ( email )

Private Bag 11222
Palmerston North, 4442
New Zealand

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