Does the US IT stock market dominate other IT stock markets: Evidence from multivariate GARCH model

被引：0

作者：

Qiao, Zhuo ^{[1
]}

Liew, Venus Khim-Sen ^{[2
]}

Wong, Wing-Keung ^{[1
]}

机构：

[1] Natl Univ Singapore, Dept Econ, Singapore, Singapore

[2] Univ Malaysia Sabah, Labuan Sch Int Business & Finance, Jalan, Malaysia

来源：

ECONOMICS BULLETIN | 2007年 / 6卷

关键词：

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页数：7

共 50 条

[1] Does fake news impact stock returns? Evidence from US and EU stock markets
Arcuri, Maria Cristina
Gandolfi, Gino
Russo, Ivan
[J]. JOURNAL OF ECONOMICS AND BUSINESS, 2023, 125
[2] 1The Contagion Effect from U.S. Stock Market to the Vietnamese and the Philippine Stock Markets: The Evidence of DCC - GARCH Model
Thao Phan Thi Dieu Le
Hieu Luong Minh Tran
[J]. JOURNAL OF ASIAN FINANCE ECONOMICS AND BUSINESS, 2021, 8 (02): : 759 - 770
[3] Herding in frontier stock markets: evidence from the Vietnamese stock market
Nha Duc Bui
Loan Thi Bich Nguyen
Nhung Thi Tuyet Nguyen
Titman, Gordon Frederick
[J]. ACCOUNTING AND FINANCE, 2018, 58 : 59 - 81
[4] Constant conditional correlation in a bivariate GARCH model: evidence from the stock markets of China
Tsui, AK
Yu, Q
[J]. MATHEMATICS AND COMPUTERS IN SIMULATION, 1999, 48 (4-6) : 503 - 509
[5] Constant conditional correlation in a bivariate GARCH model: Evidence from the stock markets of China
Department of Economics, National University of Singapore, Kent Ridge 119260, Singapore
[J]. Math Comput Simul, 4-6 (503-509):
[6] Does uncertainty affect the limits of arbitrage? Evidence from the US stock markets
Chen, Weihua
Mamon, Rogemar
Xiong, Heng
Zeng, Pingping
[J]. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2024, 74
[7] Flexible multivariate GARCH modeling with an application to international stock markets
Ledoit, O
Santa-Clara, P
Wolf, M
[J]. REVIEW OF ECONOMICS AND STATISTICS, 2003, 85 (03) : 735 - 747
[8] Volatility spillover from the US to international stock markets: A heterogeneous volatility spillover GARCH model
Wang, Yudong
Pan, Zhiyuan
Wu, Chongfeng
[J]. JOURNAL OF FORECASTING, 2018, 37 (03) : 385 - 400
[9] Volatility Spillover Effects between Indian Stock Market and Global Stock Markets: A DCC-GARCH Model
Yadav, Nikhil
Singh, Anurag Bhadur
Tandon, Priyanka
[J]. FIIB BUSINESS REVIEW, 2023,
[10] Using CARR Model and GARCH Model to Forecast Volatility of the Stock Index: Evidence from China's Shanghai Stock Market
Zou Wen-jun
Guo Ming-yuan
[J]. 2014 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING (ICMSE), 2014, : 1106 - 1112

← 1 2 3 4 5 →