期刊名称：Quantitative and Qualitative Analysis in Social Sciences
印刷版ISSN：1752-8925
出版年度：2009
卷号：3
期号：2
页码：44-68
出版社：Quantitative and Qualitative Analysis in Social Sciences
摘要：In this paper we examine the sensitivity of financial sector stock returns to market, interest rate,and exchange rate risk in three financial sectors (Banking, Financial Services and Insurance) in 16countries, including various European economies, the US and Japan. We also test for the presence ofcausality-in-mean and volatility spillovers. The econometric framework is a four-variate GARCH-in-mean model, which incorporates long- and short-term interest rates in turn. We find in most cases asignificant positive e.ect of sto ck market returns on mean returns in each sector; by contrast, interestrates and exchange rates have a significant e.ect (negative and mixed, respectively) in a fewer numberof cases. As for the three types of risk, these are found to play a role mainly in the financial servicessector, but with no clear sign pattern. Finally, most cases of volatility spillovers o ccur from marketreturn to sectoral returns in the insurance and banking sector in European economies, though thereare also some instances of interest rate and exchange rate spillovers, both in Europe and the US
