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

Research output: Contribution to journal › Journal article › peer-review

17 Citations (Scopus)

4 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 language	English
Pages (from-to)	139-156
Number of pages	18
Journal	Global Finance Journal
Volume	19
Issue number	2
Early online date	22 May 2008
DOIs	https://doi.org/10.1016/j.gfj.2008.01.003
Publication status	Published - May 2008

Scopus Subject Areas

Finance
Economics and Econometrics

User-Defined Keywords

Volatility
Regime switching
Interdependence
Information technology

Access to Document

10.1016/j.gfj.2008.01.003

Full TextAccepted author manuscript, 375 KB

Cite this

@article{e5644db6737d4206a556f8f2eb5a125c,

title = "Volatility switching and regime interdependence between information technology stocks 1995-2005",

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.",

keywords = "Volatility, Regime switching, Interdependence, Information technology",

author = "Zhuo Qiao and Russell Smyth and Wing-Keung Wong",

year = "2008",

month = may,

doi = "10.1016/j.gfj.2008.01.003",

language = "English",

volume = "19",

pages = "139--156",

journal = "Global Finance Journal",

issn = "1044-0283",

publisher = "Elsevier",

number = "2",

}

TY - JOUR

T1 - Volatility switching and regime interdependence between information technology stocks 1995-2005

AU - Qiao, Zhuo

AU - Smyth, Russell

AU - Wong, Wing-Keung

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 -

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

Abstract

Scopus Subject Areas

User-Defined Keywords

Access to Document

Other files and links

Fingerprint

Cite this