환율변동이 주식시장 통합에 미치는 영향: 동아시아와 유럽의비교

Abstract

This paper compares the process of financial integration between East Asia and Europe and examine's the effects on the integration process of intra-regional and inter-regional exchange rate volatility. Empirical analysis on stock markets shows that during the 1990s financial markets have become increasingly integrated in East Asia, but their integration is still far below compared to European markets' integration. Also, exchange rate volatility against the US dollar influences East Asian markets more than exchange rate volatility among regional currencies. Another feature is that the US market influence remains strong in East Asian financial markets while it has significantly reduced in Europe especially since the mid 1990s. The result of this paper has some implications for East Asian regional integration. First, monetary and financial cooperation should simultaneously proceed among East Asian countries. Second, simple integration through globalization is not sufficient but deepening regionalism is essential, and real regionalization should be matched with financial regionalization for East Asia to reap the benefits from financial integration. Third, the joint efforts to attain exchange rate stability, macroeconomic policy coordination, concerted institution building, and establishment of market infrastructure would be necessary to strengthen financial integration and to match real integration and financial integration. Without such efforts, the prospects of financial integration in East Asia are not very promising.