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In this paper, we find that U.S. and ASEAN equity return correlations increased post-Great Recession and that innovations in U.S. and other foreign equity markets explain a larger proportion of ASEAN return volatility after the Great Recession. The United States is increasingly cointegrated with each ASEAN member country and equity returns in the U.S. affect equity returns in ASEAN equity markets but not vice versa. Using an EGARCH-M and DCC-GARCH approach, we find that lagged U.S. weekly returns affect subsequent weekly returns in ASEAN equity markets and we find a positive equity risk premium with asymmetric volatility response to innovations in ASEAN equity markets. Our study concludes that increasing integration may be due to the increase in economic trade pacts and capital market integration initiatives between the U.S. and ASEAN member states.

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