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 journalArticlepeer-review

16 Citations (Scopus)

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
DOIs
Publication statusPublished - 2008

Scopus Subject Areas

  • Finance
  • Economics and Econometrics

User-Defined Keywords

  • Information technology
  • Interdependence
  • Regime switching
  • Volatility

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