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Covid-19 and the Technology Bubble 2.0: Evidence from DCC-MGARCH and Wavelet Approaches

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  • Caner Özdurak
  • Cengiz KarataÅŸ

Abstract

There has probably never been as big a divergence between markets and economies as there is in the pandemic period. This paper is an attempt to test the ‘time-varying’ and ‘time-scale dependent’ volatilities of major technology stocks, FAANG and Microsoft, for analyzing the possibility of a second technology bubble in the markets. Consistent with the results of DCC-GARCH models, our analysis based on the application of the Wavelet approach also indicates that major technology behave and move as if they were all one stock in the pandemic period which makes us to be cautious about a second dotcom crisis since %26 of S&P 500 market cap is driven by FAANG and Microsoft stocks.  JEL classification numbers: C58, D53, O14.

Suggested Citation

  • Caner Özdurak & Cengiz KarataÅŸ, 2021. "Covid-19 and the Technology Bubble 2.0: Evidence from DCC-MGARCH and Wavelet Approaches," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 11(2), pages 1-4.
    • Handle: RePEc:spt:apfiba:v:11:y:2021:i:2:f:11_2_4
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    References listed on IDEAS

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    More about this item

    Keywords

    Dot-com crisis; tech bubble; DCC-GARCH; FAANG; Wavelet.;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • O14 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Industrialization; Manufacturing and Service Industries; Choice of Technology

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