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|Title:||Does the US IT stock market dominate other IT stock markets: Evidence from multivariate GARCH model||Authors:||Qiao, Z.
|Issue Date:||2-Aug-2007||Citation:||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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