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This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility spillovers to stock markets in the Asian region during three different periods in the last decade: the pre-Long Term Capital Management crisis period, the "tech bubble" period, and the "stock market correction" period. Hong Kong SAR , Japan, and Singapore also were important spillover sources within the Asian region and affected United States to a lesser degree 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.

Finance: General --- Financial Risk Management --- Investments: Stocks --- Macroeconomics --- Information and Market Efficiency --- Event Studies --- International Financial Markets --- Externalities --- General Financial Markets: General (includes Measurement and Data) --- Price Level --- Inflation --- Deflation --- Pension Funds --- Non-bank Financial Institutions --- Financial Instruments --- Institutional Investors --- Financial Crises --- Finance --- Investment & securities --- Economic & financial crises & disasters --- Spillovers --- Stock markets --- Asset prices --- Stocks --- Financial crises --- Financial sector policy and analysis --- Financial markets --- Prices --- Financial institutions --- International finance --- Stock exchanges --- United States