Abstract
This study discusses the effect that there is an abundance of liquidity risk or illiquidity on a regional stock markets by taking samples at stocks that have a large capitalization in each country. Regional stock markets that are used in this study are the ASEAN Stock Market: Philippine, Indonesia, Malaysia, Singapore and Thailand as well as Hong Kong and Japan Stock Market as one of the world's stock market which has the largest stock capitalization. This study uses 3 liquidity measures which are Amihud illiquidity measure, Relative Bid-Ask Spread and Corwin Schultz High-Low Spread in which the results of all the measurement will be estimated using the multivariate GARCH, BEKK representative to see the effects of liquidity risk spillover. The results of the study found that for all liquidity measures, it can be seen a illiquidity spillover effects that observed between countries and regional markets which proves that liquidity is also one of the factors that have an effect on the abundance of regional stock market beside stock market return.
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