Volatility switching and regime interdependence between information technology stocks 1995-2005

Global Finance Journal

Volumn 19, Issue 2, 2008, Pages 139-156

  Qiao, Zhuo ^a   Smyth, Russell ^b   Wong, Wing Keung ^c  

^a UNIVERSITY OF MACAU   (Macao)

^b MONASH UNIVERSITY   (Australia)

^c HONG KONG BAPTIST UNIVERSITY   (Hong Kong)

Author keywords

Information technology; Interdependence; Regime switching; Volatility

Indexed keywords

EID: 48449104367     PISSN: 10440283     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.gfj.2008.01.003     Document Type: Article

References (36)

1. Ang A., and Bekaert G. International asset allocation with regime shifts. Review of Financial Studies 15 (2001) 1137-1187
2. Antoniou A., Koutmos G., and Percli A. Index futures and positive feedback trading: Evidence from major stock exchanges. Journal of Empirical Finance 12 (2005) 219-238
3. APEC. The new economy in APEC: Innovation, digital divide and policy (2002), APEC Secretariat, Singapore
4. Baca S., Garbe B., and Weiss R. The rise of sector effects in major equity markets. Financial Analysts Journal (2000, September/October) 35-40
5. Berenson, A., 2001. A year later, time to think about buying again. New York Times, 4 March, p.1.
6. Campbell J.Y., and Hamao Y. Predictable stock returns in the United States and Japan: A study of long-term capital market integration. Journal of Finance 47 (1992) 43-69
7. Cappiello L., Engle R.F., and Sheppard K. Asymmetric dynamics in the correlations of global equity and bond returns. Journal of Financial Econometrics 4 (2006) 537-572
8. Cavaglia S., Brightman C., and Akhed M. The increasing importance of industry factors. Financial Analysts Journal (2000, September/October) 41-54
9. Diebold F.X. Modeling the persistence of conditional variance: A comment. Econometric Reviews 5 (1986) 51-56
10. Edwards S., and Susmel R. Volatility dependence and contagion in emerging equity markets. Journal of Development Economics 66 (2001) 505-532
11. Edwards S., and Susmel R. Interest rate volatility in emerging markets. Review of Economics and Statistics 85 (2003) 328-348
12. Fong W.M. Correlation jumps. Journal of Applied Finance 13 (2003) 29-45
13. Geert B., Harvey C.R., and Ng A. Market integration and contagion. Journal of Business 78 (2005) 39-69
14. Gill P.E., and Murray W. Quasi-Newton methods for unconstrained optimization. Journal of the Institute of Mathematics and Its Applications 9 (1972) 91-108
15. Gordon R. Does the 'new economy' measure up to the great inventions of the past?. Journal of Economic Perspectives 14 (2000) 49-74
16. Gordon, R., 2002. Technology and economic performance in the American economy. National Bureau of Economic Research Working Paper 8771.
17. Hamao Y.R., Masulis W., and Ng V.K. Correlations in price changes and volatility across international stock markets. Review of Financial Studies 3 (1990) 281-307
18. Hamilton J.D. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57 (1989) 357-384
19. Hamilton J.D., and Susmel R. Autoregressive conditional heteroscedasticity and changes in regime. Journal of Econometrics 64 (1994) 307-333
20. Hamori S., and Imamura Y. International transmission of stock prices among G7 countries: LA-VAR approach. Applied Economics Letters 7 (2000) 613-618
21. Jeon B.N., and Jang B.S. The linkage between the US and Korean stock markets: The case of NASDAQ, KOSDAQ, and the semiconductor stocks. Research in International Business and Finance 18 (2004) 319-340
22. Jeon B.N., and von Furstenberg G.M. Growing international co-movement in stock price indexes. Quarterly Review of Economics and Business 30 (1990) 15-30
23. Jorge, C.H. and Iryna, I., 2002. Asian flu or Wall street virus? Price and volatility spillovers of the tech and non-tech sectors in the United States and Asia. IMF working paper wp/02/154.
24. Kim S.W., and Rogers J.H. International stock price spillovers and market liberalization: Evidence from Korea, Japan, and the United States. Journal of Empirical Finance 2 (1995) 117-133
25. Koutmos G. Asymmetries in the conditional mean and the conditional variance: Evidence from nine stock markets. Journal of Economics and Business 50 (1998) 277-291
26. L'Her J., Sy O., and Tnani Y. Country, industry and risk factor loadings in portfolio management. Journal of Portfolio Management 28 (2002) 70-79
27. Lamoureux C.G., and Lastrapes W.D. Persistence in variance, structural change and the GARCH model. Journal of Business and Economic Statistics 8 (1990) 225-234
28. Lo A.W., and MacKinlay A.C. Stock market prices do not follow random walks: Evidence from a simple specification test. Review of Financial Studies 1 (1988) 41-66
29. Longin F., and Solnik B. Is the correlation in international equity returns constant: 1960-1990?. Journal of International Money and Finance 14 (1995) 3-23
30. Maich, S., 2003. Analysts try to justify latest internet rise: A boom or bubble? National Post, 9 September, p. 1.
31. Masih R., and Masih A.M. Long and short term dynamic causal transmission amongst international stock markets. Journal of International Money and Finance 20 4 (2001) 563-587
32. Oliner S., and Sichel D. The resurgence of growth in the late 1990s: Is information technology the story?. Journal of Economic Perspectives 14 (2000) 3-22
33. Ryan, S., 2002. The contagion effect between the volatilities of the NASDAQ-100 and the IT.CAC: a univariate and a bivariate switching approach, IDHE working paper.
34. Standard and Poors. Global stock market factbook (2004), Standard and Poors, New York
35. Tai C.S. Market integration and currency risk in Asian emerging markets. Research in International Business and Finance 21 (2007) 98-117
36. World Economic Forum. Global information technology report 2004-2005 (2005), World Economic Forum, Geneva