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This paper discusses the model construction and the association between the Singapore’s and the Hong Kong’s stock markets. Simultaneously, this paper uses the high and the low oil price periods’ volatility as a threshold for the Singapore’s and the Hong Kong’s stock market returns. The study data period is from January, 2000 to September, 2004 and June, 2005 to October, 2008. This paper also utilizes Student's t distribution to analyze the proposed model. The results of this empirical study revealed that the two stock markets mutually affected each other, and the dynamic conditional correlation (DCC) and the bivariate asymmetric-IGARCH (1, 1) model is appropriate in evaluating the relation between them. The empirical result also indicates that the Singapore’s and the Hong Kong’s stock market is a positive relation. The average of the correlation coefficient equals to 0.6511, which implies that the two stock markets return volatility has a synchronized influence on each other. In addition to the results implied that there is an asymmetrical effect between the Singapore’s and the Hong Kong’s stock markets under the low and high oil price periods. The empirical result also shows that the Singapore’s and the Hong Kong’s stock market returns will receive the influence of the low and high oil prices’ volatility.

This paper uses the Singapore and the Thailand's stock prices of material from January 4, 2000 to July 20, 2007, discussing the model construction and their associations of between Singapore and Thailand's stock markets, and also uses Student's t distribution to analyze the proposed model. The empirical results show that the mutual affects of the Singapore and the Thailand's stock markets may construct in bivariate IGARCH (1, 1) model with a DCC. The empirical result also shows that between Singapore and Thailand's stock market returns exists the positive relations- namely two stock market return's volatility are synchronized influence, the average estimation value of the DCC coefficient of two stock market returns equals to 0.3876. Also, Singapore and Thailand's stock markets do not have the asymmetrical effect in the research data period. These evidences may suggest stock market investors or international fund managers- before investing in Singapore must consider the Thailand stock price return's volatility risk and its connection. Therefore, in the stock market, investors and managers may not neglect the influence of the foreign country's stock market return volatility behavior; otherwise, his decision will not achieve the anticipated effect.