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

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

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.

Suggested Citation

  • Dhingra, Barkha & Saini, Mohit & Yadav, Mahender & Kumar, Gaurav & Kumar, Pankaj, 2025. "Exploring global financial interdependencies among ASEAN-5, major developed and developing markets," The Journal of Economic Asymmetries, Elsevier, vol. 31(C).
    • Handle: RePEc:eee:joecas:v:31:y:2025:i:c:s1703494924000471
    DOI: 10.1016/j.jeca.2024.e00398
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    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G1 - Financial Economics - - General Financial Markets
    • N2 - Economic History - - Financial Markets and Institutions

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