Department of Economics
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.
Source Publication Title
Link to Publisher's Edition
Qiao, Z., Liew, V., & Wong, W. (2007). Does the US IT stock market dominate other IT stock markets: Evidence from multivariate GARCH model. Economics Bulletin, 6 (27). Retrieved from https://repository.hkbu.edu.hk/econ_ja/28