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Examining the Impact of the U.S. IT Stock Market on Other IT Stock Markets
Zhuo Qiao1; Venus Khim-Sen2; Wing-Keung Wong3
2010
Source PublicationHandbook of Quantitative Finance and Risk Management
Author of SourceCheng-Few Lee, Alice C. Lee, John Lee
Publication PlaceBoston, MA
PublisherSpringer, Boston, MA
Pages1283-1291
Abstract

Because of its very important role in modern production and management, information technology (IT) has become a major driver of economic growth and has speeded up the integration of the global economy since the 1990s. Due to the prominent position of the IT industry in the U.S., the U.S. IT stock market is believed to have driven up IT stock markets in other countries. In this paper, we adopt a multivariate GARCH model of Baba et al. (Unpublished manuscript, Department of Economics, University of California, San Diego, 1990) to investigate the linkages between the IT stock and several non-U.S. IT markets; namely, Japan, France, Canada, Finland, Sweden, and Hong Kong. Our findings reveal that, generally, the U.S. IT market contributes strong volatility to non-U.S. IT markets rather than having a mean spillover effect, implying that the U.S. IT market plays a dominant role in the volatility of world IT markets. In addition, our analysis of the dynamic path of correlation coefficients implies that during the formation, spread, and collapse of the IT bubble, the relationships between the U.S. and non-U.S. IT markets are strong but the relationships weaken after the IT bubble bursts

KeywordInformation Technology Spillover Effect Multivariate Garch (mGarch) Conditional Correlation It Bubble Stock Market Integration Volatility
DOIhttps://doi.org/10.1007/978-0-387-77117-5_84
ISBN978-0-387-77116-8
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Document TypeBook chapter
CollectionFaculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Affiliation1.Faculty of Business Administration, University of Macau,
2.Faculty of Economics and Business, Universiti Malaysia Sarawak, Malaysia
3.Department of Economics, Hong Kong Baptist University, Hong Kong, Kowloon Tong, Hong Kong
First Author AffilicationFaculty of Business Administration
Recommended Citation
GB/T 7714
Zhuo Qiao,Venus Khim-Sen,Wing-Keung Wong. Examining the Impact of the U.S. IT Stock Market on Other IT Stock Markets. Boston, MA:Springer, Boston, MA,2010:1283-1291.
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