ABSTRACT
This research aims to analyze volatility spillover in stock market, foreign exchange, and bond market in ten Asian developing countries, i.e. Indonesia, Singapore, Taiwan, Malaysia, the Philippines, China, South Korea, Hong Kong, Thailand, and India, within the period of January 1, 2009 until December 31, 2016. Trivariate GARCH Model and the Cholesky Decomposition were used for analysis, performed in EViews 8. The research variables are stock market (X1), foreign exchange (X2), and bond market (X3). This study finds that volatility spillovers were present in the financial markets of the aforementioned countries, particularly in their stock market, foreign exchange, and bond market, indicating that the trends of those areas in each country are influential to the trends of the same areas in other countries.
