Econometric Analysis of Stock Price Co-movement in the Economic Integration of East Asia

This paper studies the economic integration of East Asian economies among one another and with the US using co-movement of stock market prices. Both time-varying correlations and regressions are employed. We have traced the increased integration from 1980 to 2011 among the NIEs of Korea, Hong Kong, Taiwan and Singapore, the increase in integration of China since the Shanghai stock market opened in 1990 and the effect of the recent great economic recession of the US on its economic influence on the East Asian economies.