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 |
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Keyword: | Stock market, Dominate other IT stock markets, Evidence from multivariate GARCH model |
Subjects: | H Social Sciences > HG Finance > HG1-9999 Finance > HG4501-6051 Investment, capital formation, speculation > HG4551-4598 Stock exchanges |
Department: | SCHOOL > Labuan School of International Business and Finance |
Depositing User: | ADMIN ADMIN |
Date Deposited: | 29 Apr 2011 17:45 |
Last Modified: | 16 Oct 2017 13:07 |
URI: | https://eprints.ums.edu.my/id/eprint/2885 |
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