Abstract
Using TGARCH models, this paper finds that U.S. stock markets have been the major source of price and volatility spillovers to stock markets in the Asia-Pacific region during three different periods of the last decade: the pre-Long Tenn Capital Management crisis period, the "tech bubble" period, and the "stock market correction" period. Hong Kong SAR, Japan, and Singapore were also important sources of spillovers within the AsiaPacific region and, to a lesser degree, affected the United States during the "stock market correction" period. There is also evidence of structural breaks in the stock price and volatility dynamics induced during the "tech bubble" period.