Who moves East Asian stock markets? The role of the 2007–2009 global financial crisis

• The financial crisis has strengthened the linkages among East Asian stock markets.
• Regional factors matter more in East Asia after the crisis.
• The South Korean and Japanese markets become more important in the region.
• The influence of the US market has declined somewhat over time.

This paper examines the integration and causality of interdependencies among six major East Asian stock exchanges, while also considering their interactions with the USA before and during the 2007–2009 global financial crisis. The data reveal that the global financial crisis has strengthened the linkages among stock markets in East Asia. Though the influences of the Hong Kong and Singaporean stock markets have declined somewhat over time, the South Korean and Japanese stock markets become more important in the region. Finally, East Asian stock markets are less responsive to the shocks in the USA after the crisis.