Khairul Azwar

Type of the article: Research Article

Abstract
Rising global uncertainty and rapid digital transformation have significantly altered volatility dynamics and cross-market linkages in Southeast Asian equity markets, raising critical questions regarding market efficiency and regional financial integration. This study investigates weak-form market efficiency and examines short-term and long-term integration dynamics across the capital markets of Indonesia, Malaysia, Singapore, the Philippines, Thailand, and Vietnam during the digital disruption period. Monthly stock index data spanning January 2020 to July 2025 are analyzed using quantitative time-series techniques to assess return behavior, information transmission, and long-run market relationships.
The empirical results indicate that all sampled markets broadly exhibit weak-form efficiency, as evidenced by random return behavior and stationary price series. Nevertheless, statistically significant short-term dependence persists, suggesting partial and time-varying inefficiencies. The findings further reveal strong long-term integration among ASEAN capital markets, while short-term interactions remain asymmetric. In particular, the Indonesian market functions as a unidirectional information transmitter to the Thai market. Additional analysis shows that shocks originating from the Philippine market account for approximately 25–28 percent of fluctuations in the Indonesian market, whereas the contribution of the Singapore market is limited to around 5–6 percent, reflecting a higher degree of market independence. Overall, the results suggest that ASEAN capital markets are structurally integrated in the long run, although uneven short-term information transmission continues to limit regional diversification opportunities.