The empirical results show that the dynamic conditional correlation (DCC) and the bivariate AIGARCH (1, 1) model is appropriate in evaluating the relationship of the Thailands and the Malaysians stock markets with two factors of gold price and oil price markets. The empirical result also indicates that the Thailands and the Malaysians stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.4732, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the Thailands and the Malaysians stock markets have an asymmetrical effect. The return volatility of the Thailand and the Malaysian stock markets receives the influence of the positive and negative values of the gold price and the oil price volatility rates. Key Words: Gold Price, Oil Price, Stock Market, Asymmetric Effect, AIGARCH Model.