Exploring global financial interdependencies among ASEAN-5, major developed and developing markets

Barkha Dhingra, Mohit Saini, Mahender Yadav, Gaurav Kumar and Pankaj Kumar

The Journal of Economic Asymmetries, 2025, vol. 31, issue C

Abstract: The outbreak of the virus in early 2020 led to widespread market volatility and significant declines in stock prices. The importance of the ASEAN-5 markets has emerged as a result of the pandemic. Post-covid-19 and Russia-Ukraine war, these markets have gained attention from investors and researchers. Therefore, it is crucial to understand the extent to which the ASEAN-5 markets are connected to other major markets in order to fully grasp the impact of the pandemic on global stock markets. Hence, this study aims to examine the connectedness among ASEAN-5, the US, the UK, India, and China's stock markets. The data for the period January 2017 to December 2022 were retrieved. DCC-GARCH is employed to fetch the connectedness for sub-periods: pre, during, and post-covid-19. The results in the pre-covid-19 period highlight that Indian markets are least connected with the others; the Philippines is the worst net volatility receiver. During covid-19, China is the net volatility receiver, in the post-covid-19 period; Singapore is the net volatility receiver. The results are robust to the Minimum Spanning Tree (MST) analysis. During the crisis, investors should rebalance or reallocate their portfolios due to increased connection and declining benefits of diversification. To prevent the local markets from being affected by other markets, policymakers should take action.

Keywords: ASEAN; Stock markets; Connectedness; India; China; United States; United Kingdom; Minimum spanning tree (search for similar items in EconPapers)
JEL-codes: D53 E44 G1 N2 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:joecas:v:31:y:2025:i:c:s1703494924000471

DOI: 10.1016/j.jeca.2024.e00398

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