Asymmetric Reaction Towards Financial Shocks in ASEAN Countries

Econometric studies usually assume that effects of a shock with either up or down direction have been symmetrically for upward shock as well as of the downward. However many facts show that the reaction of investors toward risk and return not symmetrical opposite. This study aimed at answering the crucial question of asymmetric reaction toward the shock on capital market.Based on capital markets integration and intermarket concepts and the using of ASYMVAR model, it found that the asymmetric reaction was approved significantly. Investors were more risk averted and were sensitive against drop in stock prices.