The current study aims to examine the phenomenon of overconfidence bias in Asian stock markets, encompassing both market stress and tranquil periods. Utilizing daily data spanning from January 1, 2013, to April 30, 2023, the study employed bivariate vector autoregression (VAR) models and impulse response functions. The findings of the VAR model yield several significant conclusions. First, within our sample period, a notable and substantial correlation between market return and volume seems more prominent in advanced and rapidly expanding emerging markets such as China. Further, investors are more confident in the advanced market during the turbulence caused by the Covid-19 lockdown. The findings indicate that throughout the Russia-Ukraine crisis, Chinese and Thai investors exhibited assertive, overconfident behaviour. The implications of overconfidence bias, which ranges from investor protection to economic stability, demonstrate the significance of understanding and addressing behavioural biases in financial decision-making. This study is one of the early attempts to examine the empirical evidence of overconfidence bias at a crosscountry level in the aftermath of the recent global crisis.