Does the US IT stock market dominate other IT stock markets: Evidence from multivariate GARCH model

被引：0

作者：

Qiao, Zhuo ^{[1
]}

Liew, Venus Khim-Sen ^{[2
]}

Wong, Wing-Keung ^{[1
]}

机构：

[1] Natl Univ Singapore, Dept Econ, Singapore, Singapore

[2] Univ Malaysia Sabah, Labuan Sch Int Business & Finance, Jalan, Malaysia

来源：

ECONOMICS BULLETIN | 2007年 / 6卷

关键词：

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页数：7

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