TY - JOUR
T1 - Volatility switching and regime interdependence between information technology stocks 1995-2005
AU - Qiao, Zhuo
AU - Smyth, Russell
AU - Wong, Wing-Keung
N1 - Copyright:
Copyright 2019 Elsevier B.V., All rights reserved.
PY - 2008/5
Y1 - 2008/5
N2 - 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.
AB - 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.
KW - Volatility
KW - Regime switching
KW - Interdependence
KW - Information technology
UR - http://www.scopus.com/inward/record.url?scp=48449104367&partnerID=8YFLogxK
U2 - 10.1016/j.gfj.2008.01.003
DO - 10.1016/j.gfj.2008.01.003
M3 - Journal article
AN - SCOPUS:48449104367
SN - 1044-0283
VL - 19
SP - 139
EP - 156
JO - Global Finance Journal
JF - Global Finance Journal
IS - 2
ER -