| Over the last decades, emerging market’s countries have changed it financial systems to more open (Financial liberalization). As a result, there are cross-border capital flows from advanced countries to emerging countries in order to increase higher return. Because of that condition, the linkages and integration of financial markets have been improved since then. There are so many empirical studies of integration and linkages in stock markets, yet study about fixed-income market is inconsiderable eventhough fixed-income market is quite. Therefore, this paper aims to give the explanations of the linkages and integration of Bond markets in ASEAN with ASEAN-5 representatives (Singapore, Malaysia, Thailand, Indonesia, Philippines), China, Japan and United States. Using dynamic vector autoregressive model, the results show a correlations and causalities of bond’s return in ASEAN, China, Japan and United States. Nevertheless, the impulse response functions show the effect of shocks on the adjustment path of the variables maximum in 10 days. Based on this research, the findings are utmost important for trader not investors on assets diversification. Finally, because the integration and linkages on bond markets are exist, it also has a potential effect to harm the financial stability, especially in ASEAN emerging countries. |