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|Title:||Deconstructing the Nasdaq bubble: A look at contagion across international stock markets|
|Citation:||Hon, M.T.,Strauss, J.K.,Yong, S.-K. (2007). Deconstructing the Nasdaq bubble: A look at contagion across international stock markets. Journal of International Financial Markets, Institutions and Money 17 (3) : 213-230. ScholarBank@NUS Repository. https://doi.org/10.1016/j.intfin.2005.08.005|
|Abstract:||Share prices for the technology, media, and telecommunication (TMT) sector experienced phenomenal growth and decline at the turn of this century in the U.S. and many other OECD economies. We investigate whether contagion occurred from the U.S. to other international stock markets after the Nasdaq bubble collapsed. Results document a significant structural break in comovements between the international TMT sectors, and suggest that the collapse of the stock market in more than a dozen countries is tied to close sectoral links (particularly in TMT), and cannot be attributed to widespread contagion. We also show the importance of modeling the intrinsic heteroskedasticity in the data using a GARCH framework for inferences on contagion. © 2005 Elsevier B.V. All rights reserved.|
|Source Title:||Journal of International Financial Markets, Institutions and Money|
|Appears in Collections:||Staff Publications|
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