This paper aims to study the asymmetric relation between stock returns and volatility in ASEAN-6 stock markets by applying EGARCH model to the daily ASEAN-6 returns stock markets over the period of July 31, 2000 to April 1, 2015. Our results also showed that conditional volatility react to good and bad news asymmetrically. | International Journal of Financial Research Vol. 8, No. 1; 2017 Examining Asymmetric Volatility and Spillovers of ASEAN-6 Stock Markets in Financial Crisis Le Trung Thanh1 & Bui Thi Huong Lan2 1 Vietnam National University, Hanoi, University of Economics and Business, Vietnam 2 Strathclyde Business School, University of Strathclyde, Scotland, UK Correspondence: Le Trung Thanh, Vietnam National University, Hanoi – University of Economics and Business, Room 705, E4 Bldg., 144 Xuanthuy Str., Caugiay Dist., Hanoi, Vietnam. Tel: 84-913-590-678. Received: October 25, 2016 Accepted: November 17, 2016 doi: Online Published: December 8, 2016 URL: Abstract This paper aims to study the asymmetric relation between stock returns and volatility in ASEAN-6 stock markets by applying EGARCH model to the daily ASEAN-6 returns stock markets over the period of July 31, 2000 to April 1, 2015. Our results also showed that conditional volatility react to good and bad news asymmetrically. That is, the positive shocks generate less volatility than the negative shocks in all ASEAN-6 stock markets. Moreover, this paper also investigated volatility spillovers in the ASEAN-6 stock market returns with three developed indices (S&P 500; Nikkei and Hang Seng) in this period 2000-2015 include Global Financial crisis 2008 through VAR model. We found the impulse responses of ASEAN-6 stock markets with US stock market are higher than with Japan; Hong Kong. We recommend given lag 1-day, the investors can predict the evolution of domestic stock markets when there have a shock from others. In addition, it is also advice for investors’ decision of diversify portfolio in stock markets. Keywords: ASEAN-6, asymmetric volatility, EGARCH model, VAR model, volatility spillovers 1. Introduction Nowadays, financial market is the vital role in economic system of each country. One of key aspect of the .
