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| Venus Khim-Sen Liew, Wing-Keung Wong and Zhuo Qiao |
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| ''Does the US IT stock market dominate other IT stock markets: Evidence from multivariate GARCH model'' |
| ( 2007, Vol. 6 No.27 ) |
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| 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. |
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| Keywords: |
JEL: F3 - International Finance: General
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| Manuscript Received : Nov 11 2006 | | Manuscript Accepted : Aug 02 2007 |
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