International financial market integration: an examination of six stocks markets

Abstract

The recent daily data (Jan. 1, 1990 - July, 22,1992) of six stock markets namely, Japan, Hong Kong, Malaysia, Australia, the US, and the UK were used in this study to examine the degree of integration of these markets by using simple correlation and multiple regression analysis. The study found that Hong Kong has a higher degree of integration with all markets. The US market has a low degree of integration with all markets. UK is influenced by informational flow from the US, Japan, and Hong Kong. Malaysian market is influenced by informational flow from the US, Japan, and Hong Kong. Japan is influenced by Informational flow from Australia, the UK, Malaysia, and Hong Kong. Australia is affected by informational flow from the US, the UK, Japan, and Hong Kong. Hong Kong and Japan influence all these six markets except the US The US market leads the four Asian-Pacific markets (Malaysia, Japan, Hong Kong, and Australia) and contemporarily influences the UK Asian-Pacific markets do not influence the us market. Asian-Pacific markets show a higher degree of integratiOn with each other The relationship between the six stock markets are stable as shown by the Chow test.