Linkages among Selected Asian Stock Markets

We study the linkages among selected Asian stock markets using the time series data with the application of cointegration and causality tests. We find that our sample have very low association indicating potential gains from international diversifications. Our results show that Asian stock markets are interconnected in the long run and there exist a bidirectional as well as unidirectional causality among the Asian stock markets. Japan stock market occupies a highest proportion of shocks can be explained by its own innovation compared to other stock markets. It is also evident that shock to Srilanka and Bangladesh stock markets do not have any significant effect on any other stock markets.