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

Zhuo , Qiao and Wing-Keung , Wong and Khim-Sen Liew, Venus (2006) Does the US IT stock market dominate other IT stock markets : Evidence from multivariate GARCH model. Economics Bulletin, 6 (27). pp. 1-7.

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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: E-Article
Additional Information: Universiti Malaysia Sarawak, UNIMAS
Uncontrolled Keywords: UNIMAS, US, IT stock markets, GARCH model
Subjects: A General Works > AC Collections. Series. Collected works
A General Works > AC Collections. Series. Collected works

H Social Sciences > HB Economic Theory
T Technology > T Technology (General)
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Karen Kornalius
Date Deposited: 01 Apr 2014 08:20
Last Modified: 13 Mar 2015 02:18
URI: http://ir.unimas.my/id/eprint/1592

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