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

Zhuo, Qiao and Venus, Khim-Sen 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). 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: Article
Uncontrolled Keywords: UNIMAS, 2007, Unites State, Information and Technology, GARCH model , unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education , research, Universiti Malaysia Sarawak.
Subjects: A General Works > AC Collections. Series. Collected works
A General Works > AC Collections. Series. Collected works

H Social Sciences > HF Commerce
T Technology > T Technology (General)
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Karen Kornalius
Date Deposited: 05 Dec 2013 02:32
Last Modified: 28 Dec 2016 01:03
URI: http://ir.unimas.my/id/eprint/58

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