1. Ktisis Cyprus University of Technology
  2. Cyprus University of Technology (Research Output)
  3. Άρθρα/Articles
Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/9415
DC FieldValueLanguage
dc.contributor.authorJoseph, Nathan Lael-
dc.contributor.authorLambertides, Neophytos-
dc.contributor.authorSavva, Christos S.-
dc.date.accessioned2017-02-02T11:40:05Z-
dc.date.available2017-02-02T11:40:05Z-
dc.date.issued2015-05-06-
dc.identifier.citationJournal of International Financial Markets, Institutions and Money, 2015, vol. 37, pp. 54-76.en_US
dc.identifier.issn10424431-
dc.identifier.urihttps://hdl.handle.net/20.500.14279/9415-
dc.description.abstractWe examine the effects of foreign exchange (FX) and interest rate changes on the excess returns of U.S. stocks, for short-horizons of 1–40 days. Our new evidence shows a tendency for the volatility of both excess returns and FX rate changes to be negatively related with FX rate and interest rate effects. Both the number of firms with significant FX rate and interest rate effects and the magnitude of their exposures increase with the length of the return horizon. Our finding seems inconsistent with the view that firms hedge effectively at short-return horizons.en_US
dc.formatpdfen_US
dc.language.isoenen_US
dc.rights© Elsevieren_US
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 United States*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/us/*
dc.subjectBivariate GJR-GARCH-Men_US
dc.subjectExchange rate and interest rate effectsen_US
dc.subjectFama-French-Carhart (FFC) factorsen_US
dc.subjectSmooth transition functionen_US
dc.subjectTime-varying conditional correlationsen_US
dc.titleShort-horizon excess returns and exchange rate and interest rate effectsen_US
dc.typeArticleen_US
dc.linkJournal of International Financial Markets, Institutions and Money,en_US
dc.doihttp://dx.doi.org/10.1016/j.intfin.2015.04.005en_US
dc.collaborationAston Universityen_US
dc.collaborationCyprus University of Technologyen_US
dc.subject.categoryEconomics and Businessen_US
dc.journalsOpen Accessen_US
dc.countryUnited Kingdomen_US
dc.countryCyprusen_US
dc.subject.fieldSocial Sciencesen_US
dc.publicationPeer Revieweden_US
dc.identifier.doi10.1016/j.intfin.2015.04.005en_US
dc.relation.volume37en_US
cut.common.academicyear2014-2015en_US
dc.identifier.spage54en_US
dc.identifier.epage76en_US
item.openairecristypehttp://purl.org/coar/resource_type/c_6501-
item.openairetypearticle-
item.cerifentitytypePublications-
item.grantfulltextnone-
item.languageiso639-1en-
item.fulltextNo Fulltext-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.facultyFaculty of Tourism Management, Hospitality and Entrepreneurship-
crisitem.author.facultyFaculty of Tourism Management, Hospitality and Entrepreneurship-
crisitem.author.orcid0000-0003-2864-1793-
crisitem.author.orcid0000-0001-6562-4816-
crisitem.author.parentorgFaculty of Management and Economics-
crisitem.author.parentorgFaculty of Management and Economics-
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