Using the novel methods of the conditional nonlinear quantile regression and pairwise realised moments, we aim to shed lights on its economic drivers on dynamic integration of stock markets in the Pacific basin for the full sample periods 1990-2012. We find empirical evidence that the recent
integration of stock markets in the Pacific basin region have been significantly driven by the lower differences (i.e., higher similarities) of a variety of the economic performances between sample countries over the recent decades. In particular, this study suggests an interesting existence of nonlinearities for the effects of the economic drivers on the integration of stock markets in this region.
Keywords: Stock market integration; Macroeconomic performances, Realised correlations; Nonlinearity, Conditional quantile regression
