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The study is derived from the weekly return series of the Asian—Pacific emerging markets. The causal relationship between these markets and the two developed markets, US and Japan, is examined for the years 1977 through 1988. The US market can be considered as a ‘global factor’ and is found to lead most of the Asian—Pacific emerging markets with the exception of three relatively closed markets: Korea, Taiwan and Thailand. The Japanese market is found to have a less important influence on the Asian—Pacific emerging markets.