Abstract This paper examines the volatility spillover effects between precious metals futures (gold, palladium, platinum, and silver), Brent oil futures, and ASEAN stock markets (Indonesia, Malaysia, Philippines, Singapore, Thailand, and Vietnam) at multiple time horizons and during bear and bull market periods. The results show that precious metals, crude oil, and the Vietnamese stock market are net receivers of spillovers irrespective of time horizons and during bearish market conditions. In contrast, during the bullish market conditions, Brent oil futures and Vietnamese stock markets become net contributors to short-term spillovers. Furthermore, the stock markets of Indonesia, Malaysia, and the Philippines are the largest contributors to spillovers under bear and bull market conditions and regardless of the time investment horizons. Moreover, adding precious metals or oil futures to the ASEAN equity portfolio provides better hedging effectiveness during different considered crises. The role of Brent oil and precious metals futures serves as diversifier, hedge, and safe haven assets is discussed under major events.