The paper examines the effect of exchange rate risk on the conditional relationship between beta risk and return in international equity markets from January 1978 through September 2004. We use an extension of the model introduced by Pettengill, Sundaran, and Mathur (PSM Model, 1995) and adapted...

This study empirically investigates the spillover between exchange rate risk and sectoral returns in Pakistan over the period of 1992–2017 using high-frequency data. Building on the Wavelet multi- resolution-extended dynamic conditional correlation GARCH (MRA-EDCC GARCH) model, our findings...