Note(s): (1) GMM-based instrumental variable regression of returns to Malaysia equity index from other East Asian markets and its own lagged value from the previous week. (2) Estimates indicate that the only (positive) statistically significant influences arise from Korea (at the 5% level) and to some extent from Thailand (at 10% level) but also negative externalities from Indonesia (at the 5% level). Persistence (effect of own lag) is not statistically significant. (3) Abbreviations: r_CHN, r_HKG, r_IDN, r_KOR, r_MYS, r_PHL, r_THA, r_TWN and r_VNM denote weekly returns on equity indices for markets in China, Hong Kong, Indonesia, (South) Korea, Malaysia, the Philippines, Thailand, Taiwan and Vietnam, respectively