Purpose: To investigate how and why different pairs of developed and emerging markets of Asia Pacific region exhibit differing degree of stock market integration over time.

Methodology: The study includes four developed markets and six emerging markets of Asia Pacific region. The time period of the study is from 2000 to 2015. Two-step procedure is employed in the study. First, daily returns of the ten national stock markets over 16 years are used to compute Geweke (1982) Measures of Feedback for each pair of markets. There are 24 pairs of market each including a developed market and an emerging market. For each pair of market, 16 annual Geweke Measures of Feedback is computed which reveals how the degree of stock market integration between developed and emerging markets has evolved over time. In the second step, list of economic and financial variables that can influence the degree of stock market integration is specified. These variables are then used in pooled regression model across all 24 pairs of markets to identify the key factors that foster stock market integration in Asia Pacific region.

Findings: Geweke Measures of Feedback indicate presence of significant contemporaneous relationship between developed and emerging markets of Asia Pacific region. There is not much evidence that show that developed markets lead emerging markets across days and vice versa. Presence of significant contemporaneous relationship and lack of lead/follow relationship indicate that there is high degree of market efficiency in Asia Pacific region. The feedback measures also indicate that the stock market integration in Asia Pacific region has strengthened post global financial crisis 2007-2008. The result of pooled regression shows that trade relationship with developed markets, gross domestic product, volatility in stock returns and political risk rating significantly influence stock market integration between developed and emerging markets in Asia Pacific region.