Volatility switching and regime interdependence between information technology stocks 1995-2005

Zhuo Qiao, Russell Smyth and Wing-Keung Wong

Global Finance Journal, 2008, vol. 19, issue 2, 139-156

Abstract: In this paper we use SWARCH models to analyze volatility regime switching and regime interdependence for information technology (IT) stocks in Canada, France, Hong Kong, Japan, Taiwan, the United States and a composite Emerging Markets (EM) index. We find that prior to the IT bubble country effects were more important for IT stocks, but the effect of the IT bubble has been to make industry effects more important than country effects in explaining the volatility switching behavior of IT stocks.

Keywords: Volatility; Regime; switching; Interdependence; Information; technology (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (24)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:19:y:2008:i:2:p:139-156

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