This study used a product-term model to investigate the moderating effects of the 2008 Global Financial Crisis on the relationship between exchange rate and stock market returns. Results indicate that a unit increase in depreciation had significant depressing effects after the crisis compared to before the crisis. Results also reveal that average stock market returns were significantly higher after the crisis compared to before the crisis at low values of exchange rate. This study is the first study to apply a product-term model to examine the relationship between exchange rate and stock market returns in Kenya.
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