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

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  • Aloui Mouna

    (University of Faculty Economics and Management of Sfax)

  • Jarboui Anis

    (Universities Higher Institute of Business Administration of Sfax)

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.

Suggested Citation

  • Aloui Mouna & Jarboui Anis, 2017. "Stock Market, Interest Rate and Exchange Rate Risk Effects on non Financial Stock Returns During the Financial Crisis," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 8(3), pages 898-915, September.
    • Handle: RePEc:spr:jknowl:v:8:y:2017:i:3:d:10.1007_s13132-015-0301-4
    DOI: 10.1007/s13132-015-0301-4
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    More about this item

    Keywords

    Exchange rate; Interest rate; Multivariate GARCH; Volatility;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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