"The purpose of this study is to examine volatility spillovers among the ASEAN-5 stock market as well as between the ASEAN-5 with the United States and Japan for period after the Asian financial crisis. The study used the EGARCH model to determine the intraregional and interregional spillovers effects. The results indicate that market returns in the stock market in ASEAN-5 are highly dependent on their own past returns." (Quoted from paper)