Document Type

Journal Article

Department/Unit

Department of Economics

Language

English

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.

Publication Date

2007

Source Publication Title

Economics Bulletin

Volume

6

Issue

27

Start Page

1

End Page

7

Publisher

Economics Bulletin

Peer Reviewed

1

Link to Publisher's Edition

http://www.accessecon.com/pubs/EB/2007/Volume6/EB-06F30029A.pdf

ISSN (print)

15452921

Included in

Economics Commons

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