Convergence and interdependence between ASEAN-5 stock markets

Rapid growth and low correlations between emerging markets in the South-East Asian region can offer higher returns and lower portfolio risk for international investors. This paper examines the linkages between the stock markets of the Association of Southeast Asian Nations’ (ASEAN) five original member countries, namely Indonesia, Malaysia, the Philippines, Singapore and Thailand (hereafter referred to as ASEAN-5) over the period 1990–2008. The primary focus is to consider the correlations and long-run relationships among the ASEAN-5 market indices and whether there are signs of converging or increased cross-market integration after the 1997 Asian financial crisis. Overall, there is some evidence of an increase in the level of integration and interdependence between the ASEAN-5 markets after the financial crisis. In addition, the US market is found to have significant influence on all ASEAN-5 markets.