Local Attention and ASEAN-5 Connectedness: A TVP-VAR and GARCH-MIDAS Analysis

We show that financial integration in emerging Asia is state-dependent in the sense that cross-market linkages vary systematically across regimes of global uncertainty and market stress. Focusing on Indonesia, Malaysia, Singapore, Thailand, and Vietnam, this study combines a time-varying parameter VAR (TVP–VAR) with a GARCH–MIDAS volatility model to link short-run transmission to long-run behavioural effects. We construct a regional investor-sentiment (IS) index from Google search data on five macro-financial topics using principal component analysis and analyse it together with global benchmarks (MSCI EM, S&P 500), gold, clean-energy equities, and macro-uncertainty indicators. The TVP–VAR maps dynamic spillovers among the ASEAN-5 and external nodes, while the GARCH–MIDAS relates the slow component of variance to investor attention. The evidence indicates that connectedness tightens in stress regimes, with global benchmarks and policy uncertainty acting as transmitters and ASEAN equities absorbing incoming shocks. In the volatility block, the Google-based IS factor exerts a negative and economically meaningful influence on the long-run component over and above global uncertainty, supporting the view that attention and uncertainty function as complementary channels of risk propagation. The integrated framework is parsimonious and replicable, and it offers actionable insights for regime-aware risk management, policy communication, and the timing of green-finance issuance in emerging markets.