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dc.contributor.authorOlugbode, M
dc.contributor.authorEl-Masry, A
dc.contributor.authorPointon, J
dc.contributor.editorDrozdziak A
dc.contributor.editorGaston T
dc.date.accessioned2016-05-22T08:28:24Z
dc.date.available2016-05-22T08:28:24Z
dc.date.issued2014-07-15
dc.identifier.issn1463-6786
dc.identifier.issn1467-9957
dc.identifier.urihttp://hdl.handle.net/10026.1/4699
dc.descriptionSource 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.extent409-464
dc.languageEnglish
dc.language.isoen
dc.publisherWiley
dc.subject3801 Applied Economics
dc.subject3802 Econometrics
dc.subject35 Commerce, Management, Tourism and Services
dc.subject38 Economics
dc.subject3502 Banking, Finance and Investment
dc.titleExchange Rate and Interest Rate Exposure of UK Industries Using First-order Autoregressive Exponential GARCH-in-mean (EGARCH-M) Approach
dc.typejournal-article
dc.typeArticle
plymouth.author-urlhttps://www.webofscience.com/api/gateway?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000337510900002&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=11bb513d99f797142bcfeffcc58ea008
plymouth.editionDOI:
plymouth.issue4
plymouth.volume82
plymouth.publisher-urlhttp://onlinelibrary.wiley.com/doi/10.1111/manc.12029/pdf
plymouth.publication-statusPublished
plymouth.journalThe Manchester School
dc.identifier.doi10.1111/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.placeUnited Kingdom
dcterms.dateAccepted2013-07-03
dc.identifier.eissn1467-9957
dc.rights.embargoperiodNot known
rioxxterms.versionofrecord10.1111/manc.12029
rioxxterms.licenseref.urihttp://www.rioxx.net/licenses/all-rights-reserved
rioxxterms.licenseref.startdate2014-07-15
rioxxterms.typeJournal Article/Review


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