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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Economics Bulletin
2007
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| Subjects: | |
| Online Access: | http://ir.unimas.my/58/ http://ir.unimas.my/58/1/Does%20the%20US%20IT%20stock%20market%20%28abstract%29.pdf |
| Summary: | 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. |
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