In this study we estimated the Asian emerging sovereign bond market volatility processes using the EMBI(emerging market bond index) global spread for the Asian emerging countries provided by JP Morgan in order to identify the existence and significance of investors' overreaction in those markets especially during two crisis periods, the Asian FX crisis in 1997 and the global crisis in 2008. We applied 1-variable 2-state Markov regime-switching GARCH-M(generalized autoregressive conditional heteroscedasticity in mean) model to this estimation procedure and major findings are as follows. First, we found no statistically significant evidences on the existence of overreaction which are quite different from other precedented studies especially during the high volatility regime periods of global financial crisis. This fact indicates volatility contagion or spillover effect during those crisis times stems from the result of risk spillover by the temporary shock not from the economic fundamentals by the permanent shock. Second, we found the strong symptoms of bond market synchronization between Asia and the US during the low volatility regime periods, the normal states. This means the evidence of volatility decreasing persistence during those regime periods.