Conditional volatility and dynamic correlation of ASEAN stock market [Kemeruapan bersyarat dan korelasi dinamik pasaran saham ASEAN]

This study attempts to look at the relationship between stock markets in asean-5 region by using multivariate garch models (mgarch). the results show that most markets are experiencing a higher degree of volatility in periods of crisis,especially during the asian financial crisis. the results also show a positive correlation between markets and changing over time with the degree of correlation between markets seen higher in the crisis period. the study also finds significant effects of asymmetric shocks in influencing the correlation between the stock markets in asean-5. market volatility and economic crisis were among factors that may affect the correlation between the stock markets. the results also show that the stock markets in asean-5 were increasingly integrated with the degree of correlation between the markets tends to increase after the global financial crisis. this situation may give an indication of the economic convergence process in the asean region. the findings are important for policy and economic (financial) implications mainly to investors and financial practitioners as well as policy makers.