This study tests the information transmission mechanism among the bond spot markets of Korea, Japan and USA with a generalized autoregressive conditional heteroskedasticity (GARCH) model which is introduced by Engle(1986) and Bollerslev(1986). We employed thedaily closing price data of 3month, 5 years and 10 years` KTB, JGB, T-note and T-bond spot market from January 1, 2000 to the end of June 2006. The major empirical results are as follows;
First, there are the conditional mean and variance volatility spillovers from the S&P500 to KOSPI200 stock index futures market. We also find conditional mean and variance spillovers from the US to Japanese stock index futures market and vice versa with the influence of the S&P500 index futures dominant. Second, the daytime innovations of the US stock index futures markethave much more influence on the overnight returns than the daytime returns of both Korean and Japanese stock index futures market. These findings are much stronger after the 1997 Korean currency crisis period suggesting that the trend of integration and the interdependence of international stock index futures is increasing over time.
