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

Zhuo Qiao; Russell Smyth; Wing Keung WONG

doi:10.1016/j.gfj.2008.01.003

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

Zhuo Qiao, Russell Smyth^*, Wing Keung WONG

^*Corresponding author for this work

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17 Citations (Scopus)

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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 language	English
Pages (from-to)	139-156
Number of pages	18
Journal	Global Finance Journal
Volume	19
Issue number	2
DOIs	https://doi.org/10.1016/j.gfj.2008.01.003
Publication status	Published - 2008

Scopus Subject Areas

Finance
Economics and Econometrics

User-Defined Keywords

Information technology
Interdependence
Regime switching
Volatility

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

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