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

• Main Authors: Zhuo, Qiao, Venus, Khim-Sen Liew, Wing-Keung, Wong
• Format: E-Article
• Language: English
• Published: Economics Bulletin 2007
• Subjects: AC Collections. Series. Collected works; HF Commerce; T Technology (General)
• Online Access: http://ir.unimas.my/id/eprint/58/1/Does%20the%20US%20IT%20stock%20market%20%28abstract%29.pdf; http://ir.unimas.my/id/eprint/58/
• Institution: Universiti Malaysia Sarawak

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 marke...