Stock market contagion and spillover effects of the global financial crisis on five ASEAN countries

The global financial crisis that occurred from 2007 through to 2009 caused a decline in economic performance in almost all countries. This study analysed the contagion and spillover effect from the developed stock market to the stock markets in five ASEAN countries using the DCC-GARCH model. The result showed that there was a significant increase of the DCC’s coefficient on the crisis period confirming the contagion effect from the markets of the developed countries to those of five ASEAN stock markets, except Dow Jones Index to PSEI Philippines, and HSI to KLSE. Except for Malaysia, the spillover effect during the crisis period was greater than the pre-crisis period; on the other hand, the effect of volatility on the movement of stock returns in the five ASEAN countries was smaller in the crisis period.