The purpose of this research is to examine the causal and dynamic
relationship among stock market, trading volume, and return volatility in South-
East Asia market period of 2011-2014. This research employs Vector Auto-
Regression (VAR) and E-GARCH model. The causal and dynamic relationship
between stock return and trading volume analyzed using VAR model, whereas
dynamic relationship between return volatility and trading volume analyzed using
E-GARCH model. Result showed that Thailand market return have no impact to
trading volume, and vice versa. There is causal effect in Malaysia and Vietnam
market. Stock return does not have impact to trading volume, but trading volume
does have impact to return in Philippines, and Indonesia. All countries in South-
East Asia market indicated that trading volume information being useful in
predicting future return volatility, except Philippines.