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Venus Khim-Sen Liew, Wing-Keung Wong and Zhuo Qiao
 
''Does the US IT stock market dominate other IT stock markets: Evidence from multivariate GARCH model''
( 2007, Vol. 6 No.27 )
 
 
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.
 
 
Keywords:
JEL: F3 - International Finance: General
G1 - General Financial Markets: General (includes Measurement and Data)
 
Manuscript Received : Nov 11 2006 Manuscript Accepted : Aug 02 2007

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