[ABSTRAK
Penelitian ini membahas mengenai spillover volatilitas antara pasar ekuitasnegara anggota ASEAN-5 dengan pasar ekuitas Amerika Serikat dan Jepang, padaperiode 1 Januari 2004 sampai dengan 31 Desember 2014. Seluruhperiodepenelitian dibagai kedalam tiga periode, yaitu : pra krisis, krisis dan pasca krisis.Model yang digunakan dalam penelitian ini adalah bivariate GARCH (1,1) ? fullBEKK. Hasil empiris pada penelitian ini, yaitu Pertama, Spillover volatilitasmemiliki sifat dan besaran yang berbeda beda tergantung pada periode pra krisis,krisis dan pasca krisis.Kedua, ditemukan bukti bahwa pada periode pra krisis tidak ditemukanadanya spillover volatilitas diantara pasar saham ASEAN-5, namun hasil yangberbeda ditunjukan pada periode krisis dan pasca krisis, pada periode tersebutspillover volatilitas terjadi diantara pasar ASEAN-5, namun pada saat krisismagnitude nya lebih besar dibandingkan pasca krisis. Spillover volatilitas yangterjadi diantara negara ASEAN-5 bersifat satu arah (unidirectional). Ketiga,Ditemukan adanya bukti spillover volatilitas dari pasar Amerika dan Jepangmenuju pasar ASEAN-5.Pada saat periode pra krisis, pasar Jepang memberikan pengaruh spillovervolatilitas lebih besar dibandingkan pasar Amerika. Sedangkan pada saat krisisdan pasca krisis, pasar Amerika memberikan pengaruh yang lebih besardibandingkan dengan pasar Jepang. Keempat, Hubungan antara pasar AmerikaSerikat dan Jepang dengan pasar ASEAN-5 menjadi lebih kompleks pada saatsetelah krisis.

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ABSTRACT
This study examines volatility spillover between ASEAN-5 countries?equity market with USA and Japanese markets in the period January 1, 2004through December 31, 2004. The whole time-period is divided into three periodsas related to the world financial and economic crisis of 2008-2009, namely : precrisis,crisis and post-crisis. Bivariate GARCH (1,1) ? FULL BEKK model isemployed to simultaneously estimate the conditional variance between sevendifferent indexes. The following are the results of empirical research : The first,volatility spillover has a different nature and magnitude depending on the periodof the pre crisis, crisis and post-crisis.Second, there is evidence that in the pre-crisis period, there are no volatilityspillover among the ASEAN-5 stock markets, but the different results shown inthe crisis and post-crisis period, during this period of volatility spillover occursbetween the ASEAN-5 markets, but in times of crisis magnitude is larger than thepost-crisis. Internal volatility spillover occurs among ASEAN-5 is one-way(unidirectional).Third, there is evidence of volatility spillover from the U.S. andJapan to the ASEAN-5 markets.At the time of pre-crisis period, the Japanese market volatility spillovereffect is greater than the American market. While in times of crisis and post-crisis,the U.S. market gives greater influence than the Japanese market.Fourth, theexternal and internal relationship in the ASEAN-5 markets become more complexduring the post-crisis.;This study examines volatility spillover between ASEAN-5 countries’equity market with USA and Japanese markets in the period January 1, 2004through December 31, 2004. The whole time-period is divided into three periodsas related to the world financial and economic crisis of 2008-2009, namely : precrisis,crisis and post-crisis. Bivariate GARCH (1,1) – FULL BEKK model isemployed to simultaneously estimate the conditional variance between sevendifferent indexes. The following are the results of empirical research : The first,volatility spillover has a different nature and magnitude depending on the periodof the pre crisis, crisis and post-crisis.Second, there is evidence that in the pre-crisis period, there are no volatilityspillover among the ASEAN-5 stock markets, but the different results shown inthe crisis and post-crisis period, during this period of volatility spillover occursbetween the ASEAN-5 markets, but in times of crisis magnitude is larger than thepost-crisis. Internal volatility spillover occurs among ASEAN-5 is one-way(unidirectional).Third, there is evidence of volatility spillover from the U.S. andJapan to the ASEAN-5 markets.At the time of pre-crisis period, the Japanese market volatility spillovereffect is greater than the American market. While in times of crisis and post-crisis,the U.S. market gives greater influence than the Japanese market.Fourth, theexternal and internal relationship in the ASEAN-5 markets become more complexduring the post-crisis., This study examines volatility spillover between ASEAN-5 countries’equity market with USA and Japanese markets in the period January 1, 2004through December 31, 2004. The whole time-period is divided into three periodsas related to the world financial and economic crisis of 2008-2009, namely : precrisis,crisis and post-crisis. Bivariate GARCH (1,1) – FULL BEKK model isemployed to simultaneously estimate the conditional variance between sevendifferent indexes. The following are the results of empirical research : The first,volatility spillover has a different nature and magnitude depending on the periodof the pre crisis, crisis and post-crisis.Second, there is evidence that in the pre-crisis period, there are no volatilityspillover among the ASEAN-5 stock markets, but the different results shown inthe crisis and post-crisis period, during this period of volatility spillover occursbetween the ASEAN-5 markets, but in times of crisis magnitude is larger than thepost-crisis. Internal volatility spillover occurs among ASEAN-5 is one-way(unidirectional).Third, there is evidence of volatility spillover from the U.S. andJapan to the ASEAN-5 markets.At the time of pre-crisis period, the Japanese market volatility spillovereffect is greater than the American market. While in times of crisis and post-crisis,the U.S. market gives greater influence than the Japanese market.Fourth, theexternal and internal relationship in the ASEAN-5 markets become more complexduring the post-crisis.]