Examining the Impact of the U.S. IT Stock Market on Other IT Stock Markets
Because of its very important role in modern production and management, information technology (IT) has become a major driver of economic growth and has speeded up the integration of the global economy since the 1990s. Due to the prominent position of the IT industry in the U.S., the U.S. IT stock...
| Main Authors: | , |
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| Format: | Book Chapter |
| Language: | English |
| Published: |
Springer US
2010
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/17994/ http://ir.unimas.my/id/eprint/17994/1/Examining%20the%20Impact%20of%20the%20U.S.%20IT%20Stock%20Market%20on%20Other%20IT%20Stock%20%28abstract%29.pdf |
| Summary: | Because of its very important role in modern production and management, information technology (IT) has
become a major driver of economic growth and has speeded up the integration of the global economy since
the 1990s. Due to the prominent position of the IT industry in the U.S., the U.S. IT stock market is believed
to have driven up IT stock markets in other countries. In this paper, we adopt a multivariate GARCH model
of Baba et al. (Unpublished manuscript, Department of Economics, University of California, San Diego,
1990) to investigate the linkages between the IT stock and several non-U.S. IT markets; namely, Japan,
France, Canada, Finland, Sweden, and Hong Kong. Our findings reveal that, generally, the U.S. IT market
contributes strong volatility to non-U.S. IT markets rather than having a mean spillover effect, implying
that the U.S. IT market plays a dominant role in the volatility of world IT markets. In addition, our analysis
of the dynamic path of correlation coefficients implies that during the formation, spread, and collapse of the
IT bubble, the relationships between the U.S. and non-U.S. IT markets are strong but the relationships
weaken after the IT bubble bursts. |
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