Essays on financial market linkages in East Asian countries

Abstract

This dissertation studies the financial market linkages in East Asian countries. It is composed of three chapters each of which investigates the financial market linkage in the region of East Asia from different perspectives. The first chapter examines the time-varying integration of stock markets in East Asian region since 1990s.The second chapter investigates the degree of financial integration between East Asian countries and US as well as Japan by assessing the co-movements of real interest rates.The third chapter inspects in detail one unique and distinguishing market in East Asia, namely Chinese stock market. Our results demonstrate the increasing global integration and regional market interdependence of East Asian financial markets.