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Volatility spillovers,structural breaks and uncertainty in technology sector markets
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作者 Linn Arnell Emma Engström +2 位作者 Gazi Salah Uddin mdbokhtiar hasan Sang Hoon Kang 《Financial Innovation》 2023年第1期2908-2938,共31页
This study uses the dynamic conditional correlation to investigate how technology subsector stocks interact with financial assets in the face of economic and financial uncertainty.Our results suggest that structural b... This study uses the dynamic conditional correlation to investigate how technology subsector stocks interact with financial assets in the face of economic and financial uncertainty.Our results suggest that structural breaks have diverse effects on financial asset connectedness and that the level of bond linkage increases when the trend breaks.We see a growing co-movement between the technology sector and major financial assets when uncertainty is considered.Overall,our findings indicate that the connectedness response varies depending on the type of uncertainty shock. 展开更多
关键词 Technology sector DIVERSIFICATION Dynamic conditional correlation UNCERTAINTY Structural breaks
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