Does the US IT stock market dominate other IT stock markets : Evidence from multivariate GARCH model

Zhuo, Qiao and V., K. S. Liew and Wing, Keung Wong (2007) Does the US IT stock market dominate other IT stock markets : Evidence from multivariate GARCH model. Economics Bulletin, 6 (27). ISSN 1545-2921

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Abstract

Utilizing multivariate GARCH framework, this study finds that generally the US Information Technology (IT) market contributes a strong volatility rather than mean spillover effect to non-US IT markets, implying that the US IT market plays a dominant role in affecting the volatility of world IT markets. However, our further analysis of the dynamic path of correlation coefficients reveals that the strong relationship between US and non-US IT markets had weakened after the burst of the IT bubble.

Item Type: Article
Uncontrolled Keywords: Stock market, Dominate other IT stock markets, Evidence from multivariate GARCH model
Subjects: ?? HG4551-4598 ??
Divisions: SCHOOL > Labuan School of International Business and Finance
Depositing User: Unnamed user with email storage.bpmlib@ums.edu.my
Date Deposited: 29 Apr 2011 09:45
Last Modified: 16 Oct 2017 05:07
URI: http://eprints.ums.edu.my/id/eprint/2885

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