Abstract
This paper investigates the dynamic integration of ASEAN6 stock markets (Indonesia, Malaysia, the Philippines, Singapore, Thailand and Vietnam) with international stock markets (the US, the ASEAN bloc, and Asia) in an ARMA-EGARCH-M and a vector autoregression models (VAR) using weekly price returns from January 2000 to October 2015. The interaction channels between these markets provide valuable information to investors about possible investment gateways into these ASEAN6 countries. The dependence structure of unexpected returns between the US and ASEAN6 countries, and contagion of the Global Finance Crisis (GFC) are explored in the paper. The results indicate that investors from the US and Asia could gain diversification benefits by investing in the stock markets of Indonesia, Malaysia, the Philippines, Singapore and Thailand. At the same time, ASEAN investors might wish to invest in Vietnam for their investment diversification. However, the Vietnamese market is found to be highly dependent on the US and Asian markets.
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