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Financial Integration In East Asian Equity Markets

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  • Jing Chi
  • Ke Li
  • Martin Young

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

  • Jing Chi & Ke Li & Martin Young, 2006. "Financial Integration In East Asian Equity Markets," Pacific Economic Review, Wiley Blackwell, vol. 11(4), pages 513-526, December.
    • Handle: RePEc:bla:pacecr:v:11:y:2006:i:4:p:513-526
    DOI: 10.1111/j.1468-0106.2006.00332.x
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