Purpose. This paper aims to study the daily returns and volatility spillover effects in common stock prices between China and four countries in Southeast Asia (Vietnam, Thailand, Singapore and Malaysia). Design/methodology/approach. The analysis uses a vector autoregression with a bivariate GARCHBEKK model to capture return linkage and volatility transmission spanning the period including the pre- and post-2008 Global Financial Crisis. Findings. The main empirical result is that the volatility of the Chinese market has had a significant impact on the other markets in the data sample. For the stock return, linkage between China and other markets seems to be remarkable during and after the Global Financial Crisis. Notably, the findings also indicate that the stock markets are more substantially integrated into the crisis. Practical implications. The results have considerable implications f...