earticle

영어

We examined the information transmission mechanisms in returns and volatility across international stock markets using the GJR-GARCH(1,1)-M models. In other words, we analyzed whether there is spillover effects of the mean, volatility and asymmetric transfer effect of information from the US regional equity index into Germany, Korea, Japanese, Nigeria and Republic of the South Africa equity market over the period July 1, 2010 and December 30, 2015. The main results are as follows. First, the mean spillover effects from US stock market are positive in stock markets of most countries(Germany, Korea, Japanese, Nigeria, Republic of the South Africa). Second, the volatility spillover effects from US are positive for equity index of Germany, Korea, Republic of the South Africa, Nigeria except for Japan. Finally, we find that asymmetric spillover effect of information exist, except for Nigeria, in the Germany, Korean, Japan and Republic of the South Africa stock markets. Therefore, bad news has a greater effect on the response than good news in most countries.