Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.intfin.2005.08.005
Title: Deconstructing the Nasdaq bubble: A look at contagion across international stock markets
Authors: Hon, M.T.
Strauss, J.K.
Yong, S.-K. 
Keywords: Contagion
Stock bubble
Issue Date: 2007
Source: 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
URI: http://scholarbank.nus.edu.sg/handle/10635/44284
ISSN: 10424431
DOI: 10.1016/j.intfin.2005.08.005
Appears in Collections:Staff Publications

Show full item record
Files in This Item:
There are no files associated with this item.

SCOPUSTM   
Citations

21
checked on Dec 12, 2017

Page view(s)

63
checked on Dec 7, 2017

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.