IDEAS home Printed from https://ideas.repec.org/a/taf/wjabxx/v20y2019i3p339-357.html
   My bibliography  Save this article

Interest Rate and Exchange Rate Exposure of Portfolio Stock Returns: Does the Financial Crisis Matter?

Author

Listed:
  • Richard Adjei Dwumfour
  • Naa Adokarley Addy

Abstract

The study examines the impact of changes in interest rate and exchange rates and their unexpected changes on industry and size portfolio returns on the Ghana Stock Exchange (GSE) controlling for the 2007/2008 financial crisis. Three main exchange rates (FX) namely, Ghana cedis (Gh¢)/US dollar, Gh¢/Great Britain Pounds (GBP) and the Gh¢/Euro are used. We use OLS, GARCH and ARIMA in our estimations. The study found that only depreciation of the Gh¢/USD reduces the returns of financial stocks and large firms. There is a direct positive impact of the financial crisis on the returns due to investment shift from developed markets where crisis occurs. Variations in the returns are mostly explained by the market index returns (RM), which has a positive impact. However, we find that the positive impact of RM on the portfolio returns (finance, medium and large portfolios) is reduced during the financial crisis. The results largely reveal that shocks to the conditional variance are highly persistent and the response of volatility decays at a slower rate.

Suggested Citation

  • Richard Adjei Dwumfour & Naa Adokarley Addy, 2019. "Interest Rate and Exchange Rate Exposure of Portfolio Stock Returns: Does the Financial Crisis Matter?," Journal of African Business, Taylor & Francis Journals, vol. 20(3), pages 339-357, July.
    • Handle: RePEc:taf:wjabxx:v:20:y:2019:i:3:p:339-357
    DOI: 10.1080/15228916.2019.1583977
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/15228916.2019.1583977
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/15228916.2019.1583977?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Afees A. Salisu & Abdulsalam Abidemi Sikiru, 2023. "Stock returns and interest rate differential in high and low interest rate environments," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1713-1728, April.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:wjabxx:v:20:y:2019:i:3:p:339-357. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/wjab20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.