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

Venus Liew, Wing-Keung Wong and Zhuo Qiao

Economics Bulletin, 2007, vol. 6, issue 27, 1-7

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.

JEL-codes: F3 G1 (search for similar items in EconPapers)
Date: 2007-08-02
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Citations: View citations in EconPapers (13)

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