<![CDATA[This study analyzes the dynamic relationship between global market volatility (VIX), currency exchange rates against the US Dollar, and stock market indices of ASEAN-5 countries (Indonesia, Malaysia, Philippines, Thailand, and Vietnam) in the COVID-19 pandemic period (2020) versus the economic recovery period (2021–2025). Methodology: Using daily data and a separate Vector Autoregression (VAR) approach for each country. Econometric testing includes ADF stationarity, AIC lag determination, VAR stability, Granger causality, IRF, and FEVD. All stationary variables at the first difference, $I(1)$, confirm the specification of the VAR-in-Difference model.Findings: IRF analysis shows that the negative impact of VIX shocks on ASEAN-5 stock indices weakened significantly during the recovery, especially in the Philippines and Thailand, while Vietnam was the most resilient. Granger's causal relationship shifted from a two-way pattern during the pandemic to one-way during recovery, except in Indonesia which has just formed a two-way relationship between the VIX and JCI. The FEVD analysis confirms the increasing dominance of own-shock in the recovery period, except in Thailand where the THB/USD exchange rate dominates 95.62% of the SET index variation. Implications: The ASEAN-5 stock market is increasingly resilient to the spillover of post-pandemic external volatility. This condition reopens opportunities for portfolio diversification across countries due to the divergent market response again.]]>
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