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

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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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Bibliographic Details
Main Authors:	Zhuo, Qiao, Venus, Khim-Sen Liew, Wing-Keung, Wong
Format:	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/ http://ir.unimas.my/id/eprint/58/1/Does%20the%20US%20IT%20stock%20market%20%28abstract%29.pdf

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