Exchange Rate and Interest Rate Exposure of UK Industries Using First-order Autoregressive Exponential GARCH-in-mean (EGARCH-M) Approach
dc.contributor.author | Olugbode, Mojisola | |
dc.contributor.author | EL-MASRY, AHMED | |
dc.contributor.author | Pointon, J | |
dc.contributor.editor | Drozdziak A | |
dc.contributor.editor | Gaston T | |
dc.date.accessioned | 2016-05-22T08:28:24Z | |
dc.date.available | 2016-05-22T08:28:24Z | |
dc.date.issued | 2014-07-15 | |
dc.identifier.issn | 1463-6786 | |
dc.identifier.issn | 1467-9957 | |
dc.identifier.uri | http://hdl.handle.net/10026.1/4699 | |
dc.description | Source info: The Manchester School, Vol. 82, Issue 4, pp. 409-464, 2014 | |
dc.description.abstract |
We examine the sensitivity of 31 UK non-financial industries to exchange and interest rate exposure from 1990 to 2006 using first-order autoregressive exponential GARCH-in-mean (EGARCH-M) model. We find that the stock returns of UK industries are more affected by long-term interest rate risk than exchange rate risk and short-term interest rate risk. Moreover, the euro introduction decreases exchange and interest rate exposure and competitive industries exhibit higher returns volatility than concentrated industries. Furthermore, for most UK industries: increased risk does not necessarily lead to an increase in returns and persistence of volatility is much higher in some industries than others. | |
dc.format.extent | 409-464 | |
dc.language | English | |
dc.language.iso | en | |
dc.publisher | Wiley | |
dc.title | Exchange Rate and Interest Rate Exposure of UK Industries Using First-order Autoregressive Exponential GARCH-in-mean (EGARCH-M) Approach | |
dc.type | journal-article | |
dc.type | Article | |
plymouth.author-url | https://www.webofscience.com/api/gateway?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000337510900002&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=11bb513d99f797142bcfeffcc58ea008 | |
plymouth.edition | DOI: | |
plymouth.issue | 4 | |
plymouth.volume | 82 | |
plymouth.publisher-url | http://onlinelibrary.wiley.com/doi/10.1111/manc.12029/pdf | |
plymouth.publication-status | Published | |
plymouth.journal | The Manchester School | |
dc.identifier.doi | 10.1111/manc.12029 | |
plymouth.organisational-group | /Plymouth | |
plymouth.organisational-group | /Plymouth/Faculty of Arts, Humanities and Business | |
plymouth.organisational-group | /Plymouth/Faculty of Arts, Humanities and Business/Plymouth Business School | |
plymouth.organisational-group | /Plymouth/REF 2021 Researchers by UoA | |
plymouth.organisational-group | /Plymouth/REF 2021 Researchers by UoA/UoA17 Business and Management Studies | |
plymouth.organisational-group | /Plymouth/Users by role | |
plymouth.organisational-group | /Plymouth/Users by role/Academics | |
dc.publisher.place | United Kingdom | |
dcterms.dateAccepted | 2013-07-03 | |
dc.identifier.eissn | 1467-9957 | |
dc.rights.embargoperiod | Not known | |
rioxxterms.versionofrecord | 10.1111/manc.12029 | |
rioxxterms.licenseref.uri | http://www.rioxx.net/licenses/all-rights-reserved | |
rioxxterms.licenseref.startdate | 2014-07-15 | |
rioxxterms.type | Journal Article/Review |