Management and Administrative Sciences Review www.absronline.org/journals e-ISSN: 2308-1368, p-ISSN: 2310-872X Volume: 3, Issue: 1, Pages: 53-68 (January 2014) © Academy of Business & Scientific Research *Corresponding author: Ma. Belinda S. Mandigma, College of Commerce and Business Administration, University of Santo Tomas, Manila, Philippines. E-Mail: belmandigma@yahoo.com 53  Research Paper Stock Market Linkages among the ASEAN 5+3 Countries and US: Further Evidence Ma. Belinda S. Mandigma College of Commerce and Business Administration, University of Santo Tomas, Manila, Philippines This study is an attempt to analyze the linkages among the stock markets of the ASEAN 5+3 countries and the U.S. before the 2008 global financial turbulence and the ensuing recovery period. Data consisted of weekly stock index closing prices over the period January 07, 2005 to December 28, 2007 (pre-crisis period) and the period January 15, 2010 to January 25, 2013 (recovery period). Econometrics tools were used to examine (1) short-term dynamic stock returns relationships (2) individual stock market efficiency (3) long-term stock market linkages, and (4) short-term influence on stock returns among the subject stock markets. Results indicate that the short-term dynamic linkages among the markets were strengthened during recovery except for China. In addition, there exists a long- term co-integrating relationship among the markets after the crisis. Interestingly, results show the significant influence of China in almost all the markets before and after the financial turmoil. Further, the unidirectional causal relationship running from the U.S. to the Philippines and Indonesia somehow dissipates and curiously shifted to China during recovery. Policy makers may use the results of this study as a spring board for adopting programs in response to increasing financial interactions across borders. Likewise, international investors may be guided by the findings in the choice of stocks for portfolio diversification. Keywords: Stock market interactions, global financial crisis, international portfolio diversification, econometrics INTRODUCTION Interactions among international stock markets have been the foci of many studies in previous years. Several terminologies were used in these studies to signify interactions such as integration (e.g. Yi and Tan, 2009; Mukhopadhyay, 2009; Maghyereh, 2006), convergence (e.g. Manning, 2002), co-movement (e.g. Candelon, Piplaca and Straetmans, 2008), correlation (e.g. Longin and Solnik, 2001), interdependence (e.g. Lundis and Timmerman, 2004; Narayan, Smyth and Nandha, 2004; Bessler and Yang, 2003), spillover (e.g. Connolly and Wang, 2003), contagion (e.g. Dungey, Fry and Martin, 2006; Chancharoenchai and Dibooglu, 2006) and linkages (e.g. Abdul- Rahim and Mohd.Nor, 2007; Daly, 2003). Integration is a broad economic concept which denotes unity similar to convergence. Co- movement signifies concurrent movements in the