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/id/eprint/58/ http://ir.unimas.my/id/eprint/58/1/Does%20the%20US%20IT%20stock%20market%20%28abstract%29.pdf |
| _version_ | 1848834478347124736 |
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| 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 |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| 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. |
| first_indexed | 2025-11-15T05:52:37Z |
| format | Article |
| id | unimas-58 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T05:52:37Z |
| publishDate | 2007 |
| publisher | Economics Bulletin |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-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 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. |
| 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 |
| title | 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_short | 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 |
| topic | AC Collections. Series. Collected works HF Commerce T Technology (General) |
| url | http://ir.unimas.my/id/eprint/58/ http://ir.unimas.my/id/eprint/58/1/Does%20the%20US%20IT%20stock%20market%20%28abstract%29.pdf |