In this paper we examine the sensitivity of stock returns to market, interest rate, and exchange rate risk in three financial sectors (Banking, Financial Services and Insurance) in 16 countries, including various European economies, the US and Japan. We also test for the presence of causality-in-mean and volatility spillovers. The econometric framework is a four-variate GARCH-in-mean model, which incorporates long-and short-term interest rates in turn. We find in most cases a positive effect of stock market returns on mean returns in each sector; by contrast, interest rates and exchange rates have a significant effect only in a few cases, respectively negative and without a clear sign pattern. As for the three types of risk, these are found to play a role in a minority of cases, with mixed signs. Finally, most cases of volatility spillovers occur from market return to sectoral returns in the insurance and banking sector in European economies, though there are also some instances of interest rate and exchange rate spillovers, both in Europe and the US
