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This paper uses a multivariate GARCH modelling to describe the relationship between the systemic risk and the stock return in the banking industry in Thailand, Malaysia, Korea, Indonesia and Philippines. The banking industry comprises the large banks and the small-medium size banks. The advantage of this approach is the incorporation of time-variation in volatility consistent with empirical observations about the behaviour of stock return. Second the factor approach is adopted to incorporate intra-industry contagion within the banking sector. This so-called industry effect is designed to capture intra-industry information spillover between the large and the small-medium banks. Finally, the study provides evidence on these relations before and after the Asian financial crises of 1997, thereby implicitly testing for the impact of structural break.

BANK STOCK VOLATILITY AND CONTAGION: AN EMPIRICAL INVESTIGATION WITH APPLICATION OF MULTIVARIATE GARCH MODELS