This article investigates the asymmetric effects between price returns and volume volatility on the five Asia stock markets, using asymmetric bivariate GARCH model. The empirical results show that high volume volatility are positively related to the price returns in the powerful way except for the Singapore stock market, indicating the asymmetric effects of volume volatility exist on the other four markets. Moreover, the asymmetric effects of price returns significantly exist on all five markets. The influences of higher price return are greater than lower returns. Finally, the stronger asymmetric effects on variance equations exist on the Korea and the Singapore markets, and the asymmetric effects on the Taiwan market is relative weaker.