Stock price volatility is an indicator which often used by traders to find changes in market trends. The volatility of stock price plays an essential role in portfolio management, capital budgeting, decision making and policy-making. This research will examine the evidence on stock price volatility and identify the causal relationship between four stock markets in ASEAN by analysing the daily data of the stock index market of Indonesia (JKSE), Malaysia (KLCI), Thailand (SET), and Singapore (S...
