Spillover Effect of Chinese Export on New ASEAN-5 Stock Markets using Markov Regime Switching Model

China as the second largest economy supposes to produce spillover effect on the emerging market economies especially the ASEAN nations. The main objective of this paper is to study the spillover effect of the Chinese export on the new ASEAN-5 stock markets (Indonesia, Malaysia, Philippines, Thailand, and Vietnam). In this paper, multivariate Markov-Switching Intercept Autoregressive Heteroscedasticity (MSIAH) model is employed to analyze the linkage between Chinese export and the new ASEAN-5 stock markets over the sample period of August 2000 to December 2018. The monthly data have been analysed using EViews. Their relationship is also strong and positive. The findings report that the spillover effects of China export on new ASEAN-5 stock markets is significant. There is positive relationship between China export and the stock markets for both regimes. The conclusion can be made is China exports should be one of the important factors in determining the stock prices in new ASEAN-5 stock markets. Investors should alert China export information when investing in new ASEAN-5 stock market. New ASEAN-5 are important emerging economies in Asia Pacific region and China is a rising economic power, but there is very least literature to study the Spillover effect of China export on stock market in new ASEAN-5.