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A recession is part of the economic cycle that occurs in a certain period. This article investigates the effects of volatility spillover in the COVID-19 pandemic that occurred in 2020 using stock market index data from the US and ASEAN countries: Indonesia, Malaysia, Singapore, Thailand, and the Philippines. Investigations in the prior, during, and post of the 2008 crisis period were also investigated to analyze the differences between the two. This study used the BEKK-MGARCH model to analyzedoi:10.26905/jkdp.v26i1.6906 doaj:0204ca2e615d4245b6377f21609dca5a fatcat:d7p6fwcgabeetfzxgh6cwemssm