Research into spillovers involving emerging stock markets grew with the increasing openness and growth of emerging market economies (EMEs) as well as the crisis episodes in EMEs in the late 1990s that spread into other markets. This paper investigates which countries’ equity markets are more important for the ASEAN-5 equity markets for the period 1990-2016. The findings in this paper show that returns and volatility spillovers are significant for the ASEAN-5 equity markets. In fact, these spillovers can account for more than half of the innovations in the ASEAN-5 national stock markets. Moreover, while the study reveals that innovations from Asian equity markets contribute more to innovations in the ASEAN-5 equity markets; innovations from advanced economies’ equity markets remain important and innovations from non-Asian EMEs are not trivial. The results of this paper are robust against different scenarios and crisis episodes.
