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Information technology sector and equity markets: an empirical investigation

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  • Fredj Jawadi
  • Nabila Jawadi
  • Duc Khuong Nguyen
  • Hassan Obeid

Abstract

The aim of this article is to study linkages between equity and information technology sector prices. We thus investigate the price adjustment dynamics of the Information Technology (IT) sector in response to the 2007--2009 worldwide market shock for two representative developed countries (France and the USA). Using a Vector Autoregression (VAR) methodology and different econometric specifications of a smooth transition Error-Correction Model (ECM), we find significant price reactions from the USA and French IT sectors to changes in the global capital markets over the period between 11 February 2005 and 9 July 2009. The IT price response is however stronger for the USA than for France. The empirical results suggest that the IT price convergence process towards equilibrium is typically asymmetric and nonlinearly mean-reverting for the USA.

Suggested Citation

  • Fredj Jawadi & Nabila Jawadi & Duc Khuong Nguyen & Hassan Obeid, 2013. "Information technology sector and equity markets: an empirical investigation," Applied Financial Economics, Taylor & Francis Journals, vol. 23(9), pages 729-737, May.
    • Handle: RePEc:taf:apfiec:v:23:y:2013:i:9:p:729-737
    DOI: 10.1080/09603107.2012.734594
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    Cited by:

    1. Le, TN-Lan & Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar, 2021. "Time and frequency domain connectedness and spill-over among fintech, green bonds and cryptocurrencies in the age of the fourth industrial revolution," Technological Forecasting and Social Change, Elsevier, vol. 162(C).
    2. Huynh, Toan Luu Duc & Hille, Erik & Nasir, Muhammad Ali, 2020. "Diversification in the age of the 4th industrial revolution: The role of artificial intelligence, green bonds and cryptocurrencies," Technological Forecasting and Social Change, Elsevier, vol. 159(C).

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