Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/52139
Title: Does the US IT stock market dominate other IT stock markets: Evidence from multivariate GARCH model
Authors: Qiao, Z.
Liew, V.K.-S.
Wong, W.-K. 
Issue Date: 2-Aug-2007
Source: Qiao, Z.,Liew, V.K.-S.,Wong, W.-K. (2007-08-02). Does the US IT stock market dominate other IT stock markets: Evidence from multivariate GARCH model. Economics Bulletin 6 (27) : -. ScholarBank@NUS Repository.
Abstract: Utilizing multivariate GARCH framework, this study finds that generally the US Information Technology (IT) market contributes a strong volatility rather than mean spillover effect to non-US IT markets, implying that the US IT market plays a dominant role in affecting the volatility of world IT markets. However, our further analysis of the dynamic path of correlation coefficients reveals that the strong relationship between US and non-US IT markets had weakened after the burst of the IT bubble.
Source Title: Economics Bulletin
URI: http://scholarbank.nus.edu.sg/handle/10635/52139
ISSN: 15452921
Appears in Collections:Staff Publications

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