Abstract:
The technology sector’s rapid growth and increasing market concentration have
fundamentally altered market dynamics and volatility patterns among leading firms. This
study investigates the volatility spillovers among nine major US technology companies.
Specifically, the study captures the interdependence and the level of influence
corresponding to the stock return volatilities of these firms on one another. Apple,
Amazon, Google, IBM, Intel, Meta, Microsoft, Nvidia, and Tesla were sourced from
Investing.com. The daily data was collected between April 1, 2014, and May 31, 2024.
We apply the Connectedness Approach framework to the time-varying parameter vector
autoregression model. This methodology estimates several metrics: the total
connectedness index, directional measures of volatility transmission, and pairwise
relationship indicators. The analysis shows that Microsoft and Google emerge as
dominant net transmitters, while IBM and Intel function as primary receivers. Tesla's
receiver status despite large market capitalization confirms that ecosystem positioning
rather than market size determines transmission hierarchy. The Total Connectedness
Index shows significant variation during market crises, intensifying spillovers while
preserving network structure. Amazon and Nvidia demonstrate variable transmission
capacity. This study contributes to the literature by providing a comprehensive analysis
of time-varying volatility transmission networks among leading technology firms,
revealing systemic risk patterns and network effects crucial for investment and
regulatory decision-making.
