Little research has been done to determine whether the pandemic’s impact is strong enough to innovate all of the ASEAN-5 stock indices. The traditional studies of financial epidemiology in regional equities mainly focus on the major global stock markets. This paper utilizes the conventional t-test and the advanced computational power of the Wavelet Power Energy Spectrum (WPES) to investigate the magnitude of the significance of the COVID-19 impacts on the ASEAN-5 stock indices. Our t-test confirms that the pandemic has caused significant changes to the overall stock index activities. Further, the WPES analysis yielded notable results based on the spectrogram plots. First, based on the spectral analysis, during pandemic, the ASEAN-5 stock indices experienced episodes of innovation in terms of market activities. It was also observed that the regional stock indices experienced phases of volatility persistence, volatility clustering and long memory of up to four months. We conclude that, due to the impact of the pandemic, trend-following investors can’t dominate the market as they react quickly and efficiently to new information. It is suggested that asset allocation strategists particularly should regularly review and conduct climate tests on their baskets to ensure their positions are durable and resistant to shocks. The results of this study offer significant insights for both institutional and retail investors, particularly in strategizing investment baskets during uncertainties.