This paper investigates how well the financial markets in East Asia are integrated with each other and compare  the degree of this regional integration with the degree of integration between East Asian markets and the US market. We use three approaches: volume-based approach, asset price-based approach, and international risk sharing approach. Our results indicate that the degree of financial integration in East Asia has been recently increased, but our overall results suggest that it is due to the integration with a global market rather than regional integration. (The rest is omitted.)

Executive Summary

I. Introduction

II. Related Literature

III. Volume-based Approach
1. Model Specification
2. Estimation Results

IV. Asset Price Based Approach
1. Real Interest Rate Parity Test
2. CAPM Test
3. Results

V. International Risk-sharing Approach
1. Theoretical Background
2. Decomposing the cross-sectional variance of shocks to GDP
3. Estimation Results

VI. Conclusion

References