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Stock Market, Interest Rate and Exchange Rate Risk Effects on non Financial Stock Returns During the Financial Crisis

Aloui Mouna () and Jarboui Anis ()
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Aloui Mouna: University of Faculty Economics and Management of Sfax
Jarboui Anis: Universities Higher Institute of Business Administration of Sfax

Journal of the Knowledge Economy, 2017, vol. 8, issue 3, 898-915

Abstract: Abstract In this paper, we examine the sensitivity of nonfinancial sector stock returns to the market, exchange rate risk, and interest rates in two nonfinancial sectors (technology and industry) in eight countries, including various European economies, the USA and China, over the period 2006–2009. We also test for the presence of causality-in-mean and volatility spillovers. The empirical results show that the stock market returns, interest rate, and exchange rate in most cases have a significant effect (positive and negative) during crisis. As for the three types of risk, these are found to play a role mainly in the industry sector. These empirical insights are in most cases of volatility spillovers occurring from market return to sectoral returns in the industry sector in European economies, though there are also some instances of the interest rate and exchange rate spillovers, both in Europe and in the USA, during the crisis.

Keywords: Exchange rate; Interest rate; Multivariate GARCH; Volatility (search for similar items in EconPapers)
JEL-codes: C32 G12 (search for similar items in EconPapers)
Date: 2017
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