Tarazi, R., & Hasan, M. Z. (2015). Financial crisis and dynamic the dependency between six international currencies volatility with sectors volatility: evidence from six Australian sectors. The Proceedings of 4th Global Business and Finance Research Conference.
This paper investigates the influence of volatility of foreign exchange rate of the U.S., the U.K., Netherlands, Japan, China and Singapore to the volatility of the six Australian sectors within the investigated period controlling for the time periods global financial crisis 2007-2008.The volatility in this study was estimated using GARCH(1,1) models. Daily data is collected for a period of 2002 to 2014. The dataset is divided into three sub periods: before GFC (July 2002 to July 2007), during GFC (July 2007 to July 2009) and after GFC (July 2009 to July 2014). The estimated results find strong relationship between exchange rates for the six countries with six Australian sectors volatility, except health care sectors during GFC. The same relationship is evident before GFC, except banks sector. The statistically significant impact of these foreign exchange on the six Australian sectors continues after GFC, except materials sector is weakly significantly. This result is important for the investors and other market participants to understand the risk factors related to the sectors of the Australian stock market.
Australian sector, global crisis, volatility, stock returns, exchange rate