|執筆者||K. B. Tan, Y. K. Tse|
This study examines how the degree of capital-market integration of the East and South-East Asian (ESEA) economies varied over the period 1988–2000 following the deregulation of these markets. The deregulation process varied across the countries both in terms of intensity and timing. A greater degree of co-movements in stock prices is a reflection of greater stock-market integration. We employ Geweke’s (1982) measure of feedback for different pairs of markets. For each pair of markets, the Geweke measure shows how co-movements in daily returns of stock prices varied over time. This is followed by the vector autoregression (VAR) analysis to examine the linkages between the stock markets in the ESEA region. Therein we seek to explore whether the financial influence of Japan in the region has overtaken that of the US. A before- and after-Asian financial crisis analysis shows that the linkages and interactions among the markets have increased substantially in the postcrisis era, suggesting that the national markets have become more interdependent.