This study attempts to examine the existence of cointegration relationship and the short
run dynamic interaction among the five ASEAN stock market indices in the period of before
and during the 2007 financial crisis. The multivariate time series analysis frameworks are
employed to the series in both sub-sample periods in order to answer the hypotheses.The
study finds two cointegrating vectors in the series before the financial crisis period, however
it fails to detect any cointegrating vector in the period of financial crisis. Granger causality
tests applied to the series reveal that number of significant causal linkages between two
variables increase during the crisis period. Moreover, the accounting innovation analysis
shows an increase in the explanatory power of an endogenous variable to another within the
system during the crisis period, indicating that the contagious effect of the 2007-US financial
crisis has entered into the ASEAN capital market, and significantly influenced the regional
indices? movements.