A Study on Information Spillover Effects from NASDAQ 100 to KOSDAQ 50 Index Futures Markets Open Access

This paper studies the information spillover effects over price and volatility across countries by using open-to-close (daytime) returns and close-to-open (overnight) returns of NASDAQ 100 and KOSDAQ 50 index futures data from January 1, 2001 to December 31, 2001. Based on the time-varying AR(1)-GARCH (1,1)-M models, we document that statistically significant conditional mean and volatility spillover effects from the daytime returns of NASDAQ 100 index futures to both overnight returns and daytime returns of KOSDAQ 50 index futures were observed. We also find that there were information spillover effects from overnight returns of NASDAQ 100 index futures to daytime returns of KOSDAQ 50 index futures returns because investors in Korean stock markets can get information on U.S. stock market movement on real time basis due to the ECN transaction with its trading hour overlapped. Finally, we find that the daytime returns of KOSDAQ 50 index futures significantly influence the overnight and daytime returns of the NASDAQ 100 index futures.