Revision for Economic Modelling September 18, 2008. Structural Change and International Stock Market Interdependence: Evidence from Asian Emerging Markets Titus O. Awokuse* University of Delaware Aviral Chopra Texas A&M University David A. Bessler Texas A&M University Abstract This study investigates the evolving pattern of the interdependence among selected Asian emerging markets and three major stock markets (Japan, UK and US). Using rolling cointegration methods and the recently developed algorithms of inductive causation, we found that time-varying cointegration relationships exist among these stock markets. The results indicate that the wave of financial liberalization policies in the early 1990s led to a significant increase in market linkages which was later weakened during the 1997 Asian financial crisis. Furthermore, the data indicate that Japan and the US have the greatest influence on the emerging markets while the influence of Singapore and Thailand has increased since the Asian financial crisis. Keywords: Asian stock markets; Rolling cointegration analysis; Directed acyclic graphs JEL Classification: G15, C32 _________________________________ *Corresponding author: Titus O. Awokuse, Associate Professor, Department of Food and Resource Economics, 207 Townsend Hall, University of Delaware, Newark, Delaware 19717. Tel: 302-831-1323; fax: 302-831-6243; email: kuse@udel.edu