Kesan Limpahan Kemeruapan Antara Pasaran Saham ASEAN dalam Dua Regim yang Berbeza

The main objective of this paper is to investigate the effects of volatility spillover in the ASEAN stockmarkets in two different sub-periods. The multivariate GARCH model is used on five stock markets inthe ASEAN countries. The results of the study show that the movement of Kuala Lumpur compositeindex remain unaffected by capital markets of neighboring countries, but the shock from Malaysianstock market has volatility effect on stock market in Indonesia, Singapore and Thailand for the periodbefore capital control, and only affected Thailand s stock market after the capital control policy isimplemented.