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Based on the equity market return in the US, UK, Hong Kong and Japan, this study examines the spillover effects among these markets. VAR models, Granger causality tests, impulse response functions, GARCH (1, 1) models and GARCH BEKK models are conducted in this study. The conclusion of the empirical result is twofold, for the VAR models, past performance of the US market is always affecting the market return in the UK, Hong Kong and Japan. Connection in East Asian market and connection of Japanese market to the global market has strengthened in the post-crisis period. For the GARCH BEKK models, impact of the shocks from the US market is stronger during the post-crisis era. For the East Asian market, previous shocks have a weakened impact but its persistence is getting stronger.

Spillover Effects in Major Equity Markets: A GARCH BEKK Approach