Financial Market Integration in Asia: Analysis on Stock Index Futures Markets.

This paper investigates the long run and short run relationships among selected Asian stock index futures markets (i.e., Malaysia, Singapore, Taiwan and Hong Kong). Johansen's cointegrations test has been used to study file long run equilibrium relationship among the four stock index futures markets. Hence, potential for risk minimisation through diversification of index, futures across these markets is less for investors with long holding periods. The error correction term revealed that the Taiwan stock index futures market plays the leading role in driving the movements of the other markets towards the long run equilibrium. Since the four stock index future markets are cointegrated, the causal relations among these variables are examined within one Vector Error Correction Model (VECM) which allows the combinational short-run and long-run dynamic adjustments among these variables. [ABSTRACT FROM AUTHOR]