We find ASEAN5 and G5 stock markets are weakly linked in normal conditions. ASEAN5 markets became more connected with G5 markets during global financial crisis, with stronger conditional correlations, a higher level of risk spillover-connectedness and intensive causal risk dependence. By implications, ASEAN5 stocks are both return enhancers and risk diversifiers in boom market conditions. The diversification benefits remain even during crisis times, albeit lesser. Over the longer term, the diversification benefits of a portfolio that includes both ASEAN5 and G5 stocks are recaptured as market linkages revert to some lower levels due to decreased crisis contagion.

我们发现，在正常情况下，东盟5国和G5国股票市场之间的联系较弱。在全球金融危机期间，东盟五国市场与五国集团市场之间的联系更加紧密，条件关联性更强，风险溢出关联性更高，因果风险依存度更高。从含义上讲，在繁荣的市场环境下，ASEAN5股票既是回报的提升者，也是风险的分散者。即使在危机时期，多元化收益仍然存在，尽管影响较小。从长远来看，包括东盟5国和G5国股票在内的投资组合的多元化收益将因危机蔓延减少导致市场联系恢复到较低水平而重新获得。