Used the algorithm method of computer program, the empirical results show that the dynamic conditional correlation (DCC) and the bivariate asymmetric IGARCH (1, 2) model is appropriate in evaluating the relationship of the Thailand?s and the Malaysian?s stock markets. The empirical result also indicates that the Thailand?s and the Malaysian?s stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.4781, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the Thailand?s and the Malaysian?s stock markets do have an asymmetrical effect, and the variation risk of the Thailand?s and Malaysian?s stock market returns receives the influence of the gold market. Under the good news, the gold price market affects the variation risk of the Malaysian?s stock market. And gold price market also affects the variation risk of the Thailand?s stock market. Key Words: Stock Market Return, Gold Price, Asymmetric Effect, Bivariate IGARCH Model.