Introduction

This book examines the issue of equity markets interdependence or integration. The issue of financial market integration is certainly one that is important from a theoretical, practical and policy perspective. It examines the price linkage of the Australian equity market with those of its main trading partners and those of ASEAN. Through its use of advanced econometric techniques, the book provides more robust and comprehensive evidence on the issue of equity markets interdependence as it is able to overcome the major problems encountered by previous studies on equity market integration. The use of the Johansen method in conducting the co-integration test ensures that the results obtained from this book are more robust than those of previous studies. The book uses MSCI weekly data covering a 20-year period. In conclusion, the book clearly shows that Australia has significant linkages with the US and ASEAN in the long-term and with the US, UK, Malaysia, Singapore and Thailand in the short-term.