Volatility and Return Spillover Analysis from Selected ASEAN Markets with Indian Benchmark Index: A Post-Pandemic Market Study

Volatility Spill over, ASEAN-5, NIFTY50, Post-Pandemic, GARCH, VAR, Market Correlation

The COVID-19 pandemic has been disrupting financial activities in countries, and also across the world, it creating a lot more uncertainty, and not so much stability in the wider global financial markets. This study is looking into how volatility moves around, and how returns spillover between the benchmark stock market indices for the chosen ASEAN-5 economies, plus India, specifically in the period after the pandemic. After the economic shocks from COVID-19, Asian financial markets have been getting more tightly linked together. so, studying how these markets relate to each other is becoming more important for investment evaluation and practical decision-making. The study is using daily stock market index data from 2019 to 2025 and then applying econometric models like GARCH and VAR, to grasp the scale as well as the direction of spillover effects among these markets. The results are pointing toward a higher level of mutual risk transmission between the ASEAN-5 economies and India, which seems to matter a lot for policymakers, investors and even the market regulators working in the post pandemic financial setting. On that basis, the paper is recommending diversified investment approaches, and also coordinated policy steps for boosting market steadiness while managing financial risks in a more effective way.