Abstract
ABSTRACT This paper examines the nature of stock market integration among the US stock market and two emerging stock markets using daily stock market returns from January 2006 to March 2009, analyzing before the crisis and during the crisis. The results support the view that the continued strength of growth with intra-regional exports in the emerging markets helps the region to weather the adverse consequences of the 2008 financial crisis. As a result, the benefits of investment diversification can be achieved by investors participating in these emerging markets. However, the developed stock markets tend to be more integrated during the financial crisis period, resulting in lesser benefits of diversification among them. Keywords Financial crisis; Stock returns; Financial integration; VAR model
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