Abstract
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 (Unpublished manuscript, Department of Economics, University of California, San Diego, 1990) to investigate the linkages between the IT stock and several non-U.S. IT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.
| Original language | English |
|---|---|
| Title of host publication | Handbook of Quantitative Finance and Risk Management |
| Editors | Cheng-Few Lee, Alice C. Lee, John Lee |
| Publisher | Springer Boston |
| Pages | 1283-1291 |
| Number of pages | 9 |
| Edition | 1st |
| ISBN (Electronic) | 9780387771175 |
| ISBN (Print) | 9780387771168, 9781489995384 |
| DOIs | |
| Publication status | Published - 11 Jun 2010 |
UN SDGs
This output contributes to the following UN Sustainable Development Goals (SDGs)
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SDG 8 Decent Work and Economic Growth
User-Defined Keywords
- Information technology
- IT bubble
- Stock market
- Integration
- Volatility
- Spillover effect
- Multivariate GARCH (MGARCH)
- Conditional correlation
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