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This study investigates the Information Transmission Effect of returns among China, Korea and Hongkong stock index using the daily closing prices covered from August 2, 1999 to October 30, 2009. While previous studies separately examined the price linkage between China and Korea or between China and Hongkong, but this study integrates the stock market linkage among these countries simultaneously. For this purpose, this study applies EGARCH model, which is to consider asymmetric volatility effect which is observed in the stock price. The main empirical results are as follows. First, we find that there is asymmetric volatility spillover effect from the Korea stock market to the China stock market in the entire period. Second, EGARCH analysis shows that there are dynamic interdependence among the China, Hongkong and Korea’s stock markets. Among these countries, China is more severely influenced by information transmission than the other two countries. Finally, we find that China main stock market exists information transmission effect between Shanghai and Shenzhen stock markets on 1st and 2nd period, but 3rd period doesn’t exist.


This study investigates the Information Transmission Effect of returns among China, Korea and Hongkong stock index using the daily closing prices covered from August 2, 1999 to October 30, 2009. While previous studies separately examined the price linkage between China and Korea or between China and Hongkong, but this study integrates the stock market linkage among these countries simultaneously. For this purpose, this study applies EGARCH model, which is to consider asymmetric volatility effect which is observed in the stock price. The main empirical results are as follows. First, we find that there is asymmetric volatility spillover effect from the Korea stock market to the China stock market in the entire period. Second, EGARCH analysis shows that there are dynamic interdependence among the China, Hongkong and Korea’s stock markets. Among these countries, China is more severely influenced by information transmission than the other two countries. Finally, we find that China main stock market exists information transmission effect between Shanghai and Shenzhen stock markets on 1st and 2nd period, but 3rd period doesn’t exist.