Abstract: | The present paper examines the linkages between the South–East Asian stock markets following the opening of the stock markets in the 1990s. No evidence was found to indicate a long–run relationship among the South–East Asian stock markets over the period 1988–1997; however, correlation analyses indicate that the South–East Asian stock markets are becoming more integrated. The results from the time–varying parameter model also show that the stock market returns of Indonesia, the Philippines and Thailand had all become more closely linked with that of Singapore. |