Document Type

Journal Article

Department/ Unit

Department of Economics

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.

Publication Year

2008

Journal Title

Global Finance Journal

Volume number

19

Issue number

2

Publisher

Elsevier

First Page (page number)

139

Last Page (page number)

156

Referreed

1

DOI

10.1016/j.gfj.2008.01.003

ISSN (print)

1044-0283

Link to Publisher’s Edition

http://dx.doi.org/10.1016/j.gfj.2008.01.003

Keywords

Volatility, Regime switching, Interdependence, Information technology

Included in

Economics Commons

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