This research reinvestigates stock market linkages in Asian region by employing Johansen cointegration and vector error correction model (VECM) based causality tests. The stock price indexes of Japan, Singapore, South Korea, India and China are used, with monthly data over 1999:09–2019:10. The empirical results find weak price convergence among Asian markets, hence are almost segmented by national borders. The asymmetrical stock price relations in Asia have important implications for the pricing efficiency of national markets and suggest several opportunities for global investors to optimise returns through portfolio diversifications across leading stock markets of the region.
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