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
ID Code:2885
Deposited By:IR Admin
Deposited On:29 Apr 2011 17:45
Last Modified:18 Feb 2015 11:36

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