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.
|Number of pages||18|
|Journal||Global Finance Journal|
|Publication status||Published - 2008|
Scopus Subject Areas
- Economics and Econometrics
- Information technology
- Regime switching