This study investigates the evolving involvement of the Association of Southeast Asian Nations (ASEAN) in the sovereign bond markets, highlighting the significant position of these emerging economies as a linchpin in the interconnected global financial system. Leveraging the innovative Adaptive Matrix Autoregressive (AMAR) model, we unravel the intricate network of interconnectedness and the ever-changing structural dynamics within global, regional, and intra-ASEAN markets. Our research underscores that developed Western countries play a pivotal role in influencing ASEAN nations and larger Asian economies, albeit with varying degrees of impact across regions and over time. Furthermore, ASEAN countries exhibit diverse roles as risk receivers, spillovers, or both. The dynamic nature of these roles is exemplified by events such as the European debt crisis, which for instance temporarily transformed Malaysia from a risk receiver into an exporter, thereby disrupting global markets. This study sheds light on the dynamic nature of sovereign bond markets and emphasizes the significant influence exerted by ASEAN, offering insights for policymakers and investors navigating this ever-evolving financial landscape.