ORCID
- Olugbode, Moji: 0000-0003-2387-0036
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.
DOI
10.1111/manc.12029
Publication Date
2014-07-15
Publication Title
The Manchester School
Volume
82
Issue
4
Organisational Unit
Plymouth Business School
First Page
409
Last Page
464
Recommended Citation
Olugbode, M., El-Masry, A., & Pointon, J. (2014) 'Exchange Rate and Interest Rate Exposure of UK Industries Using First-order Autoregressive Exponential GARCH-in-mean (EGARCH-M) Approach', The Manchester School, 82(4), pp. 409-464. Available at: https://doi.org/10.1111/manc.12029
