ABSTRACT
This chapter provides a theoretical discussion of the general issue of equity market integration. It is an investigation of financial market integration particularly equity market integration. It is therefore fundamentally important that the concept of financial integration be understood thoroughly. Equity market integration has been studied through the examination of any one or a combination of the following attributes of financial market integration: degree of price equality among markets, degree of co-movement of prices, degree of barriers, and speed of price adjustment. It has been reliably used in equity market integration studies. Some studies point to the existence of a linkage between certain groups of equity markets based on some unifying or common factor, such as close regional, economic, and geographical relationships. The existing evidence on equity market integration is mixed, and existing studies have mostly focused on developed markets and are beset with different problems ranging from theory to methodology to data.
