Globalization and advancement in information technology made it possible for investors to invest in either domestic or global stock market. Besides, the information will be spread quickly from one market to another. Fact showing that during the subprime mortgage crisis in USA, their domestic stock market experiencing downturn and also all of global stock market. And then, we have European Union crisis which originated from Greece. Crisis caused of debt-fear from Greece impacted to all over Europe that is, we can see European stock market is in turmoil. The crisis not only impacted in its region (Europe), it is also contagious to all global stock market. This research using data from Dow Jones Industrial Average (USA), FTSE 100 (UK), and Greece stock exchange composite from January 2006 to July 2010. We employ GARCH (1, 1) and GARCH-X model to see return and volatility spillover between three stock markets. Our result shows that during all period, there are return spillover between three stock markets which is all significant in 1%. In terms of volatility spillover, from 2006 to 2010 extracted that no volatility spillover from USA stock market to Greece stock market. In American crisis period, also founded that there are no volatility spillover from USA stock market to Greece stock market and vice versa. Meanwhile, during EU crisis period, there is no volatility spillover from USA stock market to European stock market (UK and Greece).
Key words: Return spillover, volatility spillover, generalized autoregressive conditional heteroscedasticity (GARCH), GARCH-X, American crisis, EU crisis.
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