As the financial markets in ASEAN-4 (Indonesia, Malaysia, the Philippines, and Thailand) are influenced by the US in both real and financial channels, the return and volatility spillovers between the US and the ASEAN-4 bond markets have raised the attention of the investors and the policymakers. As the ASEAN-4 governments have issued a large amount of government bonds to finance their fiscal spending amid the Covid-19 pandemic, the return and volatility spillovers from the US to ASEAN-4 could be important factors to consider when the US unwinds its unconventional monetary policy and normalizes its interest rates in the medium to long term. This study confirms and investigates the spillover across the sovereign bond markets between the US and ASEAN-4 economies.