This study examines price linkages among the equity markets of Asian newly industrialised countries of Malaysia, Singapore, Thailand, and Hong Kong. Using
daily data from January 2000 to December 2004, bivariate and multivariate cointegration technique following the Johansen (1988) procedures and bi-directional Granger causality test are conducted to examine causal relationships among these markets. The results indicate that there is a stationary relationship and significant
cointegration between the Asian NICs equity markets. Although there is evidence of integration between the NICs equity markets, overall Singapore plays an influential
role within the region and interestingly, is the only NIC to exert a bi-direction causal influence on the Malaysian stock market. Hence, this suggests that opportunities for
regional portfolio diversification in Asian newly industrialised countries equity markets remain attractive with appropriate investment strategies and policies
