After recent oil recessions, It’s very important to concern long-term relationship between energy prices (particularly oil) and its effects on economical activity. The aim of this paper is to study the asymetric relationship between oil prices shocks and GDP (proxied activities macro economic) by asymmetric cointegration approach for some eastern and south-eastern Asian countries. Results indicate that, while standard cointegration for all countries exept thailand is rejected, there is evidence for asymmetric cointegration between variables.