This paper investigates the correlations and the portfolio diversification benefits between the stock markets of the US and chosen Southeast Asian emerging markets; Philippines, Indonesia, Malaysia and Thailand. Moreover, this study provides results from both the US and the Indonesian investor’s perspectives. The focus is on capturing the time-varying effect of correlation between stock indices by using a DCC-GARCH model first introduced by Engle in 2002. The used data goes from 1988 to the end of 2015. The results provide answers on whether or not the three financial crises, the Asian crisis, the Dot-com bubble and the Global financial crisis, have had an impact on the correlations between the indices of the chosen countries and whether the change has been persistent or not. The impact the time-varying correlations have on international diversification benefits are further studied in Markowitz’s portfolio optimization framework. The findings of this study indicate that the correlations vary from time to time, and especially as the result of the Global financial crisis, but the changes in correlations are not found to be persistent. The correlation dynamics do not show clear evidence of reduced diversification benefits in the long run which is further supported by the findings from the portfolio optimization framework. For Indonesian investor, also the regional diversification benefits are found to be highly significant.