This paper estimates the directional return and volatility spillovers among information technology stock indices of five countries in the Asia-Pacific area from 1998 to 2017. We use the directional spillover index developed by Diebold and Yilmaz and reveal the pattern of daily return and volatility spillovers in the information technology stock markets, with special focus on the major crisis events in the global financial market as well as in China. We discover that the United States is the main contributor to both return and volatility spillovers during the entire period, while other countries mainly receive spillovers from the United Sates. We also find drastic spillovers in periods not noticed by previous studies. The results suggest that the global information technology stock markets are closely connected and have some distinct features that need deeper investigations, especially in a world more and more reliant on technology development.
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