Olugbode, Mojisola; El-Masry, Ahmed; Pointon, John - In: Manchester School 82 (2014) 4, pp. 409-464
type="main" <p>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...</p>
