Volatility switching and regime interdependence between information technology stocks 1995-2005

Zhuo Qiao, Russell Smyth*, Wing-Keung Wong

*Corresponding author for this work

    Research output: Contribution to journalJournal articlepeer-review

    17 Citations (Scopus)
    16 Downloads (Pure)

    Abstract

    In this paper we use SWARCH models to analyze volatility regime switching and regime interdependence for information technology (IT) stocks in Canada, France, Hong Kong, Japan, Taiwan, the United States and a composite Emerging Markets (EM) index. We find that prior to the IT bubble country effects were more important for IT stocks, but the effect of the IT bubble has been to make industry effects more important than country effects in explaining the volatility switching behavior of IT stocks.

    Original languageEnglish
    Pages (from-to)139-156
    Number of pages18
    JournalGlobal Finance Journal
    Volume19
    Issue number2
    Early online date22 May 2008
    DOIs
    Publication statusPublished - May 2008

    Scopus Subject Areas

    • Finance
    • Economics and Econometrics

    User-Defined Keywords

    • Volatility
    • Regime switching
    • Interdependence
    • Information technology

    Fingerprint

    Dive into the research topics of 'Volatility switching and regime interdependence between information technology stocks 1995-2005'. Together they form a unique fingerprint.

    Cite this