Cover Image

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

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 marke...

Full description

Saved in:
Bibliographic Details
Main Authors: Zhuo, Qiao, Venus, Khim-Sen Liew, Wing-Keung, Wong
Format: E-Article
Language:English
Published: Economics Bulletin 2007
Subjects:
AC Collections. Series. Collected works
HF Commerce
T Technology (General)
Online Access:http://ir.unimas.my/id/eprint/58/1/Does%20the%20US%20IT%20stock%20market%20%28abstract%29.pdf
http://ir.unimas.my/id/eprint/58/
Tags: Add Tag
No Tags, Be the first to tag this record!
id my.unimas.ir.58
record_format eprints
spelling my.unimas.ir.582016-12-28T01:03:28Z http://ir.unimas.my/id/eprint/58/ Does the US IT stock market dominate other IT stock markets : Evidence from multivariate GARCH model Zhuo, Qiao Venus, Khim-Sen Liew Wing-Keung, Wong AC Collections. Series. Collected works HF Commerce T Technology (General) 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. Economics Bulletin 2007-02-08 E-Article PeerReviewed text en http://ir.unimas.my/id/eprint/58/1/Does%20the%20US%20IT%20stock%20market%20%28abstract%29.pdf 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.
institution Universiti Malaysia Sarawak
building Centre for Academic Information Services (CAIS)
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Sarawak
content_source UNIMAS Institutional Repository
url_provider http://ir.unimas.my/
language English
topic AC Collections. Series. Collected works
HF Commerce
T Technology (General)
spellingShingle AC Collections. Series. Collected works
HF Commerce
T Technology (General)
Zhuo, Qiao
Venus, Khim-Sen Liew
Wing-Keung, Wong
Does the US IT stock market dominate other IT stock markets : Evidence from multivariate GARCH model
description 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.
format E-Article
author Zhuo, Qiao
Venus, Khim-Sen Liew
Wing-Keung, Wong
author_facet Zhuo, Qiao
Venus, Khim-Sen Liew
Wing-Keung, Wong
author_sort Zhuo, Qiao
title Does the US IT stock market dominate other IT stock markets : Evidence from multivariate GARCH model
title_short Does the US IT stock market dominate other IT stock markets : Evidence from multivariate GARCH model
title_full Does the US IT stock market dominate other IT stock markets : Evidence from multivariate GARCH model
title_fullStr Does the US IT stock market dominate other IT stock markets : Evidence from multivariate GARCH model
title_full_unstemmed Does the US IT stock market dominate other IT stock markets : Evidence from multivariate GARCH model
title_sort does the us it stock market dominate other it stock markets : evidence from multivariate garch model
publisher Economics Bulletin
publishDate 2007
url http://ir.unimas.my/id/eprint/58/1/Does%20the%20US%20IT%20stock%20market%20%28abstract%29.pdf
http://ir.unimas.my/id/eprint/58/
_version_ 1644508548262002688
score 13.209306

Similar Items