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...
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Economics Bulletin
2007
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| Online Access: | http://ir.unimas.my/58/ http://ir.unimas.my/58/1/Does%20the%20US%20IT%20stock%20market%20%28abstract%29.pdf |
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unimas-582016-12-28T01:03:28Z http://ir.unimas.my/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 Article PeerReviewed text en http://ir.unimas.my/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. |
| repository_type |
Digital Repository |
| institution_category |
Local University |
| institution |
Universiti Malaysia Sarawak |
| building |
UNIMAS Institutional Repository |
| collection |
Online Access |
| 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 |
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/58/ http://ir.unimas.my/58/1/Does%20the%20US%20IT%20stock%20market%20%28abstract%29.pdf |
| first_indexed |
2018-09-06T00:14:55Z |
| last_indexed |
2018-09-06T00:14:55Z |
| _version_ |
1610869037738229760 |