The global financial crisis in 2008 changed the relationship between ASEAN-5 stock markets and other global markets. Different time zones and trading hours affect how information is transmitted to investors. During the crisis, stock market interdependence increased, with the US leading the decrease in other countries' markets. After the crisis, ASEAN-5 markets were more connected to the US and UK markets than to other Asian countries. This means there are no clear lead-lag relationships within ASEAN-5 markets, making it challenging to integrate the ASEAN financial market.