Since 2014
Empirical Analysis On Exchange Rate Exposure And Sector Returns In Malaysia
Jurnal Ekonomi Malaysia
View Archive Info| Field | Value | |
| Title |
Empirical Analysis On Exchange Rate Exposure And Sector Returns In Malaysia
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| Creator |
Rambeli @ Ramli, Norimah
Awang Marikan, Dayang Affizzah Zakariya, Zainizam Jan, Micheal Podivinsky |
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| Subject |
Sector Returns, Exchange Rate Returns, Exchange Rate Volatility, Exchange Rate Asymmetric
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| Description |
The purpose of this study is to observe the impact of the exchange rate exposure in Malaysia sectors stock returns by using an augmented standard capital asset pricing model from October, 1992 to December, 2015. This paper extends previous studies on exchange rate exposure for the case of Malaysia by exploring contemporaneous exchange rate model for the price indexes sectors, including Financial, Plantation, Properties, Industrial, Tin and Mining, Trade and Services, Consumer Products and Construction sector indexes. In general this study successfully documented the exchange rate exposure scenario in Malaysia. Overall, in all instances, the result suggests that the exchange rate exposures in Malaysia can be categorized as the long memory in the volatility process. The results further suggest the sectors are largely affected by the currency fluctuated.
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| Publisher |
Universiti Kebangsaan Malaysia
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| Contributor |
—
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| Date |
2017-08-15
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Identifier |
http://ejournal.ukm.my/jem/article/view/13125
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| Source |
Jurnal Ekonomi Malaysia; Vol 51, No 1 (2017): Jurnal Ekonomi Malaysia; 33-40
0126-1962 |
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| Language |
en
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| Rights |
Copyright (c) 2017 Jurnal Ekonomi Malaysia
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