Note(s): (1) GMM-based instrumental variable regression of excess returns to (South) Korean equity index from other East Asian markets and its own lagged value from the previous week. See Table 4 for the impact of the aggregate factor. Accounting for this factor structure is important; otherwise, the residuals show evidence of strong dependence. (2) Estimates indicate statistically significant influence at 5% level from Taiwan and at the 10% level from Hong Kong (positive) and the Philippines (negative). (3) Abbreviations: r_CHN, r_HKG, r_IDN, r_KOR, r_MYS, r_PHL, r_THA, r_TWN and r_VNM denote weekly returns on equity indices for markets in China, Hong Kong, Indonesia, (South) Korea, Malaysia, the Philippines, Thailand, Taiwan and Vietnam, respectively