The Asian financial crisis had a big impact on stock markets in ASEAN-plus-three countries from 1991 to 2006. During the crisis, average returns dropped and volatility increased. Thailand and Korea were the main influencers of stock market interdependence. The crisis caused stock markets to become more connected, but this was only temporary. After the crisis, markets returned to their normal levels of interdependence. This means that international investors may lose some risk reduction benefits during a crisis, but things go back to normal once the markets recover.