This paper explores a risk adjusted uncovered equity parity model to investigate the degree of market integration for four Asian emerging markets relative to the U.S. and Japan from January 1994 to July 2008. Those four emerging markets were Korea, Singapore, Malaysia, and Thailand. Their capital markets have been vulnerable to external market risks and experienced a severe currency crisis in 1997 as well as a recent financial crisis in 2008 after market liberalization. In addition, this study examines how the degree of integration of the Asian capital markets evolved over time, specifically after structural changes in the capital markets since 2001. The market risk is explicitly measured and tested as a driving force for a deviation from the uncovered equity parity. Such an effect has not been examined previously in earlier studies on Asian financial integration. Earlier empirical literature on the uncovered interest parity focused mostly on developed economies rather than on emerging markets. The evidence presented in literature is generally unfavorable, and robust to the estimation techniques and data sets. Although these studies come up with different results, one result is common to all. There is too much heterogeneity among the two groups of countries and hence the developed economies and the emerging markets should be treated separately. There are three econometric challenges in testing the uncovered interest parity for emerging markets: the existence of relatively frequent structural breaks; a peso problem; and a simultaneity bias due to the central bank’s interventions. Also, it is possible in testing the uncovered interest parity to consider the existence of an additional premium for the risks of an emerging market if investors are risk averse. These market risks can be justified by incomplete institutional reforms, weaker macroeconomic fundamentals, Int Adv Econ Res (2012) 18:243–244 DOI 10.1007/s11294-012-9351-6