The US and the ASEAN-5 stock exchanges linkages in the periods of stock market turmoil

This study attempts to answer how the U.S and the ASEAN-5 stock markets� indices would interrelate during the periods of stock market turmoil. The multivariate time series analyses conducted on the series reveal that there are cointegrating relationships on the series of the two sub-sample periods of the 1997 and the 2002 crisis. However, the study fails to detect any cointegrating vector on the series during the 2007crisis. The granger causality tests applied to the series reveal that the number of significant causal linkages between two variables on the series rocketed during the 2007 crisis. In addition, the accounting innovation analysis shows an increase in the explanatory power of an endogenous variable to another in the system during the latest crisis, indicating that the contagious effect of the latest crisis had dramatically changed the pattern of the short run dynamic interaction of the six capital markets.