Document Type

Journal Article

Department/Unit

Department of Economics

Language

English

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

Publication Date

2008

Source Publication Title

Global Finance Journal

Volume

19

Issue

2

Start Page

139

End Page

156

Publisher

Elsevier

Peer Reviewed

1

DOI

10.1016/j.gfj.2008.01.003

Link to Publisher's Edition

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

ISSN (print)

10440283

Included in

Economics Commons

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