Abstract
The objective of this research is to study the degree of integrativeness of Asian emerging capital markets and developed capital markets during harmonization of economic and capital market policies. To investigate the presence of market integration, cross-market coefficients correlation among stock market indices are transformed to pseudo distance measures as inputs to be processed in minimal spanning tree (MST) algorithm. In addition, cointegration and Error Correction Model (ECM) are employed to test the long-run and short-run relationship. I found that the short-run comovement of returns of particular capital market towards another capital market returns does not exist, while the long-run comovement exists. The degree of integrativeness achieved its peak when the economies were under crises or during harmonization of economic regulations.
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