Artikel
Market, interest rate, and exchange rate risk effects on financial stock returns during the financial crisis: AGARCH-M approach
Our aim is to investigate the sensitivity of financial sector stock returns to market, interest rate, and exchange rate risk in three financial sectors (financial services, banking, and insurance) in eight countries, including various European, the US, and China economies, over the period 2006-2009 during the financial crisis. The econometric framework is a four-variate GARCH-in-mean model and volatility spillovers. The empirical results show the significant effects (positive and negative, respectively) of the stock market returns, interest rate, and exchange rate volatility of the financial sector during the crisis. Besides, we find, in most cases, significant (positive and negative, respectively) volatility spillovers from market return, interest rate, exchange rate, and interest rate in the financial services and the banking sector both in the European and the US economies during the financial crisis.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 4 ; Year: 2016 ; Issue: 1 ; Pages: 1-16 ; Abingdon: Taylor & Francis
- Klassifikation
-
Wirtschaft
- Thema
-
exchange rate
interest rate
multivariate GARCH
volatility
financial sector stock returns
market linkages in the post-crisis world
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Mouna, Aloui
Anis, Jarboui
- Ereignis
-
Veröffentlichung
- (wer)
-
Taylor & Francis
- (wo)
-
Abingdon
- (wann)
-
2016
- DOI
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doi:10.1080/23322039.2015.1125332
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Mouna, Aloui
- Anis, Jarboui
- Taylor & Francis
Entstanden
- 2016
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