Have U.S. and ASEAN equity markets become more integrated?
Description
This paper analyzes equity return and volatility links between the United States and Association of Southeast Asian Nations markets from 2001 to 2017. It evaluates correlations, cointegration, spillovers, and volatility dynamics before and after the Great Recession.
The evidence shows stronger post-recession integration, with U.S. and foreign market innovations explaining more ASEAN return volatility over time. The paper also finds that lagged U.S. weekly returns affect subsequent ASEAN returns, while ASEAN markets do not exert comparable influence on U.S. returns.
What this paper contributes.
Centers U.S.-ASEAN market integration.
The paper studies a region where trade and capital-market initiatives increased during the sample period.
Combines integration and volatility tools.
Cointegration, EGARCH-M, and DCC-GARCH evidence are used to study return spillovers and time-varying correlation.
Shows increasing post-recession integration.
U.S. market movements explain more ASEAN volatility after the Great Recession than before it.
Clarifies diversification limits.
Rising integration implies that international diversification benefits can weaken as markets become more connected.