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The aim of this study is to identify the pattern of volatility transmission in ASEAN-5 (Indonesia, Malaysia, Thailand, Singapore and the Philippines) stock market by examine Global Macro Shocks (proxyed by Brent oil price); Cross-Market Linkages (proxied by Dow Jones Index); and Economic Fundamental (proxied by exchange rate) as the sources of volatility. This paper utilizing VAR and asymmetric GARCH (1,1)-BEKK  model using the daily data between 4 January 2012 and 30 June 2017. The result shows that all independent variables have a significant volatility transmission to every ASEAN-5 stock market. Then in order to capture the different volatility transmission pattern, we divided the data into two periods which are “high-oil price” era and “low-oil price” era. Besides the different rate of volatility, we also find a different pattern of volatility transmission at Malaysia stock market (KLCI); Thailand stock market (SETI); and at Philippines stock market (PSEI) between these two eras.

Volatility Spillover Effects In Asean-5 Stock Market: Does The Different Oil Price Era Change The Pattern?