This study seeks to understand the nature of international stock markets and the extent to which the ASEAN-5 markets …

diversification across the Southeast Asia (ASEAN) and U.S. equity markets. It employs daily sample of 6 ASEAN equity market indices … long-run, there are no potential benefits in diversifying investment portfolios across the ASEAN and U.S. market since … of 2010, most of the ASEAN markets do not share the U.S. stock price movement …

This paper examines stock market integration between the ASEAN five and the US and China, respectively, over the period … exhibit long memory. There is cointegration between the ASEAN five and the US but almost none between the former and China … Chinese stock market plunge weakened the linkages between the ASEAN five and both China and the US. The implications of these …

five countries in ASEAN (Indonesia, Thailand, Malaysia, Philippines, and Vietnam) from January 2010 to December 2019. Fama … ASEAN markets. Fama-MacBeth's (1973) regression confirms that firm profitability scaled by operating profit-to-equity or … operating profit-to-assets positively influences expected stock returns in the ASEAN market.` …