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

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    5 Citations (Scopus)
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    Abstract

    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.
    Original languageEnglish
    Pages (from-to)1-7
    Number of pages7
    JournalEconomics Bulletin
    Volume6
    Issue number27
    Publication statusPublished - 2007

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