Among many channels, stock market directly transmits the effect of monetary policy decisions because it quickly responds to policy news. The primary objective of this paper is to clarify the asymmetric effect of monetary policy on stock market volatility, which is believed to have adverse effects on the economy recovery, over its bull and bear period. We performed empirical research in a panel setting in which monthly data of ASEAN5 (Vietnam, Thailand, Philippines, Malaysia, and Indonesia) was collected from January 2006 to June 2013. To reduce identification and endogeneity problem, we used short-term interest rate as a proxy for the stance of monetary policy. The Markov switching model was used to identify the bull and bear periods of stock market. We employed feasible GLS estimator to examine the possible asymmetry. The empirical results have demonstrated the existence of the asymmetry in the monetary policy effect on the stock market volatility over stock market cycle in ASEAN5. The findings have suggested that monetary policy is more effective in bear market and that a tight monetary policy increases the probability of shifting stock market from bullish to bearish state.