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The response of industry stock returns to market, exchange rate and interest rate risks

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  • Hyde, Stuart J

Abstract

This study investigates the sensitivity of stock returns at the industry level to market, exchange rate and interest rate shocks in the four major European economies: France, Germany, Italy and the UK. In addition to exposure to the market, significant levels of exposure to both exchange rate risk, in the four countries, and interest rate risk, in France and Germany, are identified. Further, responses to sources of risk are decomposed into components attributable to news about future dividends, real interest rates and excess returns. All three sources of risk contain significant information about future cash flows and excess returns.

Suggested Citation

  • Hyde, Stuart J, 2007. "The response of industry stock returns to market, exchange rate and interest rate risks," MPRA Paper 9679, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:9679
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    References listed on IDEAS

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    13. Uma Murthy & Paul Anthony & Rubana Vighnesvaran, 2016. "Factors Affecting Kuala Lumpur Composite Index (KLCI) Stock Market Return in Malaysia," International Journal of Business and Management, Canadian Center of Science and Education, vol. 12(1), pages 122-122, December.
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    15. Jiranyakul, Komain, 2016. "Are Thai Equity Index Returns Sensitive to Interest and Exchange Rate Risks?," MPRA Paper 71602, University Library of Munich, Germany.
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    17. 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.
    18. Mojisola Olugbode & Ahmed El-Masry & John Pointon, 2014. "Exchange Rate and Interest Rate Exposure of UK Industries Using First-order Autoregressive Exponential GARCH-in-mean (EGARCH-M) Approach," Manchester School, University of Manchester, vol. 82(4), pages 409-464, July.
    19. Akhtar, Shumi & Akhtar, Farida & Jahromi, Maria & John, Kose, 2017. "Impact of interest rate surprises on Islamic and conventional stocks and bonds," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 218-231.
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    More about this item

    Keywords

    Exchange rate exposure; interest rate risk; stock returns;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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