Browsing by Author "Hishamuddin Abdul Wahab"
Now showing 1 - 17 of 17
Results Per Page
Sort Options
- Some of the metrics are blocked by yourconsent settings
Publication Assessing Asymmetric Exchange Rate Exposure Of Malaysian Non-financial Firms(Allied Business Academies, 2021) ;Wan Nurhanan Wan SuhaimiHishamuddin Abdul WahabThe paper aims to assess the level of asymmetric currency exposure of Malaysian nonfinancial firms. Existing studies of currency exposure of Malaysian corporations ignored the commingling effect of positive and negative signs of exchange rate changes, causing bias in estimation. To address the specification gap, the study gauges the extent of asymmetric currency exposure of 207 non-financial Malaysian firms from 1995-2016. The panel analysis is employed to assess the overall exposure of the sample firms while firm-level analysis involves regression analysis with GARCH (1,1) specification. The asymmetric analysis shows high percentage of the sample firms are having significant exposure to the USD depreciation; signifying large proportion of import base firms among the Malaysian sample firms. The level of currency exposure is also found to be event-specific where higher composition of firms had significant exposure during the Asian financial crisis 1997. Net importer seems to be in favor during foreign currency depreciation and vice versa for net exporters. Given this, an intuitively plausible strategy for net importer might be to put vigorous hedging activities during the appreciation of the USD to offset the adverse impact of escalating imported price. Stringent risk management program also should be closely monitored especially during the middle of financial crisis. - Some of the metrics are blocked by yourconsent settings
Publication Assessing Recent Pattern Of Gold Price Volatility In Malaysia (2005-2018)(Inderscience Publishers, 2020) ;Hishamuddin Abdul WahabNur Laila Mohd. ArifGold price has been subjected to volatility clustering since the abolishment of the gold standard in August 1971. While there are myriad studies focused on developed economies, studies on the pattern of volatility in gold especially under the context of small open economy of Malaysia are still lacking. Attempting to fill in the gap, this study provides insight into the trend of gold price volatility as well as to examine the time variant nature of gold volatility surrounding the US subprime crisis. This study also provides a new perspective on the transmission between bilateral exchange rate (MYR/USD) and gold price. This study covered recent daily data from August 2005 to July 2018 using different models of ARCH-GARCH including ARCH, GARCH, EGARCH and TGARCH. Accordingly, gold price volatility was persistent across all periods. Enhanced volatility was evident during the 2008 global financial crisis (GFC) owing to high speculative activities and clustered news over the period. In term of asymmetry response, there was inverted asymmetry effect where positive shock raised volatility in gold. Finally, bilateral exchange rate (MYR/USD) affected gold price volatility with positive relationship, implicating the high sensitivity of gold investment during the depreciation of local currency. - Some of the metrics are blocked by yourconsent settings
Publication An Assessment Of Currency Exposure Of Non-financial\r\nFirms In Asean-4: Insights Using The Stock Returns And Cash Flow Methodologies(AESS Publication, 2022) ;Hishamuddin Abdul Wahab ;Obiyathulla Ismath Bacha ;Norhazlina Ibrahim ;Ahmad Monir AbdullahNurul Afaaf Mohd NasirThis study examines the extent and nature of foreign exchange exposure in 405 listed corporations operating in the ASEAN-4 nations, Indonesia, Malaysia, Singapore, and Thailand. The study period of 23 years, from 1995 to 2017, covers the two major crisis periods, the Asian financial crisis (AFC) of 1997 and the global financial crisis (GFC) of 2008. Our study improves on earlier work by using two alternative assessment methods, i.e., stock returns (SR) and cash flow (CF) methods. We report several interesting and noteworthy results. First, we find that the stock returns approach results in a higher incidence of exchange rate exposure relative to the cash flow method. Specifically, about 65% and 28% of the total ASEAN-4 firms had significant exposure to all currencies under the stock returns and cash flow methods, respectively. Second, we find the sample firms to have predominant exposure to the US dollar, signifying the important role played by the United States (US) as the major trading partner of the ASEAN-4. Third, when evaluating time-varying exposure, we find that the incidence of the exchange rate exposure is event-specific. Most of our sample firms were highly exposed to exchange rates during the mid-points of the AFC and the GFC. - Some of the metrics are blocked by yourconsent settings
Publication The Co-movement of China And Us Stock Indices: A Portfolio Diversification Analysis(UUM Press, 2023) ;Ahmad Monir Abdullah ;Hishamuddin Abdul Wahab ;Abul Mansur Mohammed Masih ;Mariani Abdul MajidWai-Yan WongThe aim of this article is to find diversification opportunities by examining the time-varying and time-scale-based volatility and correlation of the US and Chinese stock market indices with crude oil, gold and Bitcoin price returns, as well as the exchange rate of the Chinese Yuan Renminbi against the US Dollar (CNY/USD) using a vector error correction model (VECM), namely, maximum overlap discrete wavelet transformation (MODWT). Furthermore, individual and institutional investors may also reduce the risk of their investment portfolio by investing in commodities and stock markets from countries with a negative or substantially low correlation. Our VECM result shows that Bitcoin, crude oil and CNY/USD lead the other variables under consideration, indicating that changes in the prices of Bitcoin, crude oil and CNY/USD affect the US and Chinese stock market indices, as well as gold. Our research utilising the MODWT technique shows that Bitcoin leads crude oil at almost all levels, indicating that crude oil prices will respond to Bitcoin price movement in the long and medium term. However, investors may be deterred from using Bitcoin as a diversification tool due to its extreme volatility. The research also indicates that diversification with gold may help US investors. However, the continuous wavelet transformation finding shows that the diversification benefit effects will persist for a holding period of little more than 64 days. Our study results tend to emphasise the significance of using reasonably modern methods to identify diversification possibilities for investors with diverse investment horizons or holding stocks for various periods. - Some of the metrics are blocked by yourconsent settings
Publication The Comparative Performance Of Islamic And Conventional Banks: A Meta-analysis(Inderscience Publisher Ltd., 2021) ;Hishamuddin Abdul WahabMohammed Nur Irfan Mohammed RoslanTo date, several studies have been devoted to comparatively examine the performance of Islamic banks to its conventional counterparts with mixed results. Given these inconclusive findings, the purpose of the study is to systematically review 73 samples of past journals and published thesis related to the performance of Islamic and conventional banks subject to regional and period of study. The results reported from past studies are systematically analysed using meta-analysis approach to effectively estimate the size of effect of the implementation of Islamic banking system to the overall performance of Islamic banks relative to conventional banks. Based on meta-analysis, in overall, there is no significant difference of performance between Islamic and conventional banks. In term of regional aspect, Pakistan, Bangladesh and Malaysia showcase better performance of Islamic banks in comparison to conventional banks. Further, Islamic banks perform better during short-term period while long-term studies show the domination of conventional banks. From policy implication, this study suggests that Islamic banks can perform better than its counterparts in a region that has strong government initiatives and community awareness in Islamic finance. - Some of the metrics are blocked by yourconsent settings
Publication The Currency Exposure and Syariah Compliant Status under Different Time Domains: Insights from Maximal Overlap Discrete Wavelet Transformation (MODWT) Analysis(Horizon Research Publishing, 2021) ;Hishamuddin Abdul Wahab ;Wan Nur Rahini Aznie Zainudin ;Sharifah Fairuz Syed MohamadAsmah Mohd. JaaparThe rise of the Islamic capital market in the emerging economy of Malaysia over the past few decades motivates us to investigate the impact of the Syariah compliant status on the level of exchange rate exposure. The Syariah compliant status implies that a company should use a minimal level of debt as capital to finance its operations. Given this, it is hypothesized that Syariah compliant firms should exhibit lower levels of exchange rate exposure than their counterparts, supported by the strong theoretical connection between interest rate and exchange rate. In terms of specification, previous efforts in pricing exchange risk failed to capture the true size of exposure due to the use of single time domain in traditional model. To cater the bias in estimation, this study intends to calculate multi-horizon exchange rate exposure based on maximal overlap discrete wavelet transformation to decompose single series into multiple time domains. The financial risk analysis involves 30 listed non-financial individual stocks in Malaysia having different Syariah compliant status from November 2013 until May 2018. As a result, the study finds no significant difference in currency exposure between Syariah compliant and non-Syariah compliant stocks. Secondly, it is found that the extent of currency exposure and the percentage of exposed firms exhibit non-homogenous trend across different time scales where large amount of exposure is concentrated at higher scale. From policy implications, the study suggests that Syariah compliant firms and non-Syariah compliant firms share the same exchange risk profile where exchange risk management routine is expected to be identical for both groups. Besides, the enhanced level of exposure at higher scale requires vigorous financial risk hedging strategies especially within widened investment interval. - Some of the metrics are blocked by yourconsent settings
Publication The Dynamics Of Australian Stock Indices And Commodities Based On Mgarch-dcc And Wavelet Techniques(Taylor and Francis Group, 2022) ;Ahmad Monir Abdullah ;Hishamuddin Abdul Wahab ;Mohd Fahmi Ghazali ;Mohd Hasimi YaacobAbul Mansur Mohammed MasihThis paper aims to investigate the extent of hedging and diversification opportunities available for an Australian investor who holds a portfolio consisting of Australian conventional and Islamic indices, crude oil, gold, Bitcoin, and the Australia–US exchange rate of daily data from 2011 to 2021. The relevant time-varying and time-scale dependent techniques, such as MGARCH dynamic conditional correlation (MGARCH-DCC), continuous wavelet transform (CWT), and maximal overlap discrete wavelet transform (MODWT) are employed to discern the correlation and volatilities of the variables. The paper’s unique contribution lies in unveiling an Australian investor’s diversification opportunities of a portfolio containing Bitcoin, gold, oil, Islamic indices, conventional indices, and exchange rates. Findings from MGARCH-DCC analysis suggest that Bitcoin is the least correlated variable. However, investors may be discouraged from choosing Bitcoin as a diversification instrument due to its high volatility. The evidence further suggests that Australian investors may benefit from diversification with gold. Nonetheless, the CWT result shows that the diversification benefits effects will last for a holding period no longer than 64 days. Our research findings tend to indicate the importance of finding diversification opportunities for investors with heterogeneous investment holdings over various periods by utilising relatively advanced techniques. - Some of the metrics are blocked by yourconsent settings
Publication Enhancement Of Locus Of Control Among Inmates In Rehabilitation Centers Undergoing A Career Therapy Model: A Qualitative Analysis(GIAP Journals, 2019) ;Amin Al Haadi Shafie ;Nur Fatini Athilah Elias ;Hishamuddin Abdul Wahab ;Nurhafizah Mohd Sukor ;Mizan Adiliah Ahmad Ibrahim ;Siti Nubailah Mohd Yusof ;Mohd Khairul Anuar RahimiChong Siew NgohPurpose of the study: This paper is undertaken to discuss the enhancement of locus of control through Career Therapy Model intervention imposed upon 38 participants in selected drug rehabilitation centers in Malaysia. Methodology: In this study, the qualitative research design was adopted and interview was used to garner feedback from facilitators in charge, as well as the participants. The data collected was analysed by using content analysis approach where several themes were figured out in regard to locus of control as concerned. The participants were chosen by using purposive sampling. Main findings: The results indicated that the Career Therapy Model had been proven as effective in elevating the clients’ internal locus of control as the feedback collected demonstrated likewise. Most of the encouraging responses were constituting the effectiveness of the career therapy model, where the participants’ level of locus of control was enhanced as they are taking charge in deciding directions of their own lives. Applications of this study: This career therapy model is developed by researchers for job-searching enterprise purpose; to provide a second chance for the drug addicts to enter a more realistic workplace, with regards to their level of skills and inclination and indirectly ensuring their recovery. Originality/ novelty: Career therapy model is one of the first models of career counseling in Malaysia. Besides, the model approach in method delivery has been customized according to local-cultural setting and is evidence-based practice. In addition to career counseling aspect, this career therapy model also provides guidelines on how to deal with relapse and coping skills when they are back to the mainstream of society. Keywords: Locus of control, drug addicts, self-control, career therapy model. - Some of the metrics are blocked by yourconsent settings
Publication Financial Performance of Malaysian Founder Islamic Banks Versus Conventional Banks(World Business Institute, 2011) ;Rosnia Masruki ;Norhazlina Ibrahim ;Elmirina OsmanHishamuddin Abdul WahabThis paper analyses and measures the performance of two Islamic Banks (Bank Islam and Bank Muamalat) as they deemed to be the pioneer and spearhead of the Islamic banking system in Malaysia. Both banks are then benchmarked against the conventional banks' performance over 5 years (2004-2008).When comparing Islamic banks profitability and liquidity against conventional banks, we found that Islamic banks are less profitable but have better liquidity than conventional banks. The higher profitability of conventional banks is due to the higher net financing and better asset quality that they have. In term of credit risk, we found that the conventional banks encountered high credit risk since their LDR much higher than Islamic banks. Future studies should expand this line of study to examine the best strategy that Islamic Banks can implement in order to attract more non-Muslims borrowers to apply financing from Islamic Banks even though Islamic Banks charging higher profit mark-up. - Some of the metrics are blocked by yourconsent settings
Publication Instrumentation Of The Abstinence's Likelihood Scale In Drug Addiction (ALSDA- ACREDA)(Ashdin Publishing, 2022) ;Amin Al Haadi Shafie ;Hishamuddin Abdul Wahab ;Mohd Khairul Anuar Rahimi ;Nurul Ashikin Ahmat MiskamHaniza Rais3Purpose of the study: This article attempts to explain the procedures to a self-developed scale on how to identify one’s protective factors and risk factors integral to his or her likelihood of abstinence journey. Methodology: The 99 items in 5 domains constructed in this scale were incorporated from the insights of library search and one-to-one and group interviews executed with recovering drug addicts in a rehabilitation institution. To establish the scale to be scientifically reliable, the scale was tested its reliability and validity before it was administered for the real population. The validity of this scale was conducted through face validity with few potential populations to confirm its feasibility while the content validity was done by 2 experts from psychology and drug addiction counselling respectively. Meanwhile, the reliability test of this scale was undergone through a pilot study upon 132 respondents and some tests in Statistical Package of Social Science Version 21.0 (SPSS) were used to measure the internal consistency of the scale. Main findings: The consistency of the overall items of this scale was confirmed to be highly reliable with the value of Cronbach’s Alpha, 0.951. The result of the split- half score for the first cluster of the scale recorded as 0.94 whereas the second cluster was 0.95. The internal consistency also could be glimpsed from its ‘if items deleted’ analysis where the scores are ranged in a small gap of values between 0.929 to 0.934 signifying the scale was well-constructed in term of its language clarity and balanced distribution of items between dimensions and constructs. Applications of this study: This Abstinence’s Likelihood Scale in Drug Addiction (ALSDA-ACREDA) instrument is developed by researchers in which the purpose is to measure the likelihood level of drug addicts towards abstinence. Originality/novelty: The establishment of Self-developed instrument for Abstinence’s Likelihood Scale in Drug Addiction (ALSDA-ACREDA) - Some of the metrics are blocked by yourconsent settings
Publication Investigating the Influence of Shariah Compliance on the Level of Currency Exposure Across Time Scales An Application of Wavelet Approach(UTM Publisher, 2021)Hishamuddin Abdul WahabCurrency exposure is defined as the risk where firm value is sensitive to changes in foreign exchange movement. Several studies have been devoted to measure the extent of foreign exchange exposure of Malaysian corporations. However, previous efforts have ignored the potential of Shariah compliance and time scale effects on the measurement. Motivated from these specification problems, the study investigated the influence of Shariah compliance on the level of multi-scale exchange rate exposure using the Maximal Overlap Discrete Wavelet Transformation (MODWT) approach. The study focused on a sample of 12 Shariah compliant firms (SCF) and 12 non-Shariah compliant firms (NSCF) listed under the Food and Beverage industry in Malaysia from July 2005 till August 2018. As a result, the study found that the level of Shariah compliance had a negligible impact on the level of exchange exposure. The study also found that the level of currency exposure increased from low to high time scale, indicating that widened investment intervals entail greater exchange risk for both SCF and NSCF. In terms of policy implication, the study infers that the SCF and NSCF share almost identical exchange risk profiles which uphold the law of one price. In fact, there is no basis to expect different risk management routines in dealing with exchange risk between the two groups. However, the study stresses the importance of incorporating the time scale factor in managing exchange risk for both groups. - Some of the metrics are blocked by yourconsent settings
Publication Investing Amid Turmoil: Diversification Opportunities in Islamic Stock Indices, Bitcoin, Gold, and Crude Oil(Penerbit UKM, 2023) ;Ahmad Monir Abdullah ;Hishamuddin Abdul Wahab ;Maizatulakma Abdullah ;Romlah JaafarNoradiva HamzahThis study investigates diversification potential in the Malaysian and United States (US) Islamic stock indices, Bitcoin, gold, and crude oil prices, particularly amidst economic crises. It uses wavelet coherence and MGARCH-DCC on a dataset spanning 2014 to 2022. The findings revealed that there are diversification potentials for investors. The dynamic conditional correlation (DCC) analysis indicated that the correlation of gold with both indices is generally low, except for a brief period of heightened correlation during the COVID-19 pandemic in 2020. The correlations between bitcoin and Islamic Stock Index Returns (ISIR) of the US and Malaysia respectively are generally weak across the study period except during the pandemic for the US. Hence, it is prudent for investors with exposure to the countries’ stock index to incorporate gold within their portfolio to harness diversification benefits. The results further suggested that Bitcoin is also an appealing option for portfolio diversification. Our findings further revealed that during the Russia-Ukraine conflict, crude oil had demonstrated a minimal correlation with both the US and Malaysia ISIR, providing an opportunity for diversification. The results further suggested that Islamic equities can be a buffer against risk and instability, especially during turmoil, offering crucial implications for Shari’ah-compliant investors in Malaysia and the US. The study points to the need for further investigations incorporating additional economic shocks to understand diversification opportunities across varying investment horizons and holding durations. - Some of the metrics are blocked by yourconsent settings
Publication Kajian Meta-Analisis Keberkesanan Program Rawatan Dan Pemulihan Di Agensi Antidadah Kebangsaan (AADK)(Agensi Antidadah Kebangsaan, 2019) ;Amin Al Haadi Shafie ;Mizan Adiliah Ahmad Ibrahim ;Mohamad Isa Amat ;Khairunnezam Mohd Noor ;Hishamuddin Abdul WahabZirwatul Ahlam ZamzamMatlamat kajian ini adalah untuk melihat keberkesanan kajian-kajian lepas yang berkaitan dengan rawatan dan pemulihan yang dijalankan di bawah pusat yang dikelola oleh AADK. Kajian ini melibatkan lapan kajian kuantitatif dan empat belas kajian kualitatif. Pengkaji telah mengumpulkan kajian-kajian lepas yang berada dalam simpanan AADK dan juga yang berada di beberapa Institusi Pengajian Tinggi di Malaysia. Program rawatan dan pemulihan yang dikumpulkan telah dibahagikan kepada beberapa tema iaitu rawatan dengan pendekatan keagamaan, komuniti terapeutik, Cure and Care Rehabilitation Center dan pendekatan lain-lain. Kajian berbentuk kuantitatif telah dianalisis menggunakan perisian Stata untuk mengenalpasti keberkesanan rawatan pemulihan yang dikaji oleh pengkaji-pengkaji terdahulu. Kajian kualitatif pula dikumpulkan untuk menjadi sokongan kepada hasil meta-analisis data-data daripada kajian kuantitatif. Kajian kuantitatif yang dianalisis menggunakan meta-analisis diklasifikasikan kepada dua jenis analisis iaitu analisis selanjar dan analisis binari. Tahap keberkesanan rawatan bagi setiap kajian diukur daripada penganggaran effect size (ES) dengan menggunakan Cohen’s d bagi analisis selanjar dan nilai RR bagi analisis binari. Analisis binari pada keseluruhannya menunjukkan data-data tahap heterogeneous yang tinggi, manakala analisis selanjar pula didapati homogeneous. Di akhir kajian ini, pengkaji mendapati bahawa hasil dapatan kualitatif tidak dapat menyokong keputusan kajian-kajian kuantitatif disebabkan hasil dapatan kajian adalah berbeza-beza antara satu sama lain dan terlalu abstrak. Cadangan-cadangan yang dikemukakan diharapkan dapat membantu dalam penambahbaikan kajian keberkesanan serta pelaksanaan program rawatan pemulihan pada masa akan datang. - Some of the metrics are blocked by yourconsent settings
Publication The Perception Of Clients In Rehabilitation Center On Inhalant Use(Human Resource Management Academic Research Society, 2019) ;Amin Al Haadi Bin Shafie ;Mohd Khairul Anuar Rahimi ;Muhammad Harith Awaludin ;Nurul Ashikin Ahmat Miskam ;Farhana Sabri ;Noorazimah Kamaruddin ;Hishamuddin Abdul Wahab ;Mizan Adiliah Ahmad IbrahimMohd Radhi IbrahimThis study identifies the clients’ perception regarding to the inhalant use, consumption period, types of inhalant, inhalant as gateway substance and whether inhalant is not a choice or still being used. This study has adopted quantitative and qualitative approach. Samples of study were clients from selected rehabilitation centers including CCRC Dengkil, CCRC Jelebu, CCVC Sepang, C&C Tampin, CCRC Serendah, CCRC Kg. Selamat, C&C Bukit Mertajam, CCRC Muar, CCRC Papar dan CCRC Sarawak. The centers selected constituted to 10% of rehabilitation centers available in Malaysia. Total of respondents for quantitative were n=263 and for face-to-face interview, 10 participant were selected to triangulate the data from questionnaire. The samples were selected by using purposive sampling technique. The data from questionnaire was analyzed by using descriptive statistic to generate the data acquired. The transcribed interviews were analyzed and governed by using content analysis technique. Result showed that, inhalant use among clients in rehabilitation center is still progressively occurred. Most of them use inhalant for less than 5 months and the most popular and favored type of inhalant is glue or specifically called as “gam cap senapang”. A new innovated of inhalant is produced in which the combination of substances are made to fulfil the sense of pleasure. This study shows the classic theory of ‘gateway’ is agreeable. Keyword:Perception, Teacher, Inhalant, ACREDA, Drug - Some of the metrics are blocked by yourconsent settings
Publication Portfolio Diversification Benefits of Malaysia’s Stock Indices with Commodities: An Analysis Based on the MGARCH-DCC and Wavelet Techniques(Penerbit UKM, 2022) ;Ahmad Monir Abdullah ;Hishamuddin Abdul Wahab ;Mohd Fahmi Ghazali ;Hazriah Hasan ;Rafiatul Adlin Mohd RuslanWan Muhd Nasrul Hadi Wan Abdul AzizThis research examined the potential for diversifying Malaysian Islamic and conventional stock indexes with other commodities, such as crude oil, Bitcoin, and gold, with time-varying differences or investors’ varied investment horizons, which researchers had previously overlooked. Methods like the Multivariate GARCH-Dynamic Conditional Correlation (MGARCH-DCC) and the continuous wavelet transformation (CWT) were employed since they are timevarying and time scale-dependent. Crude oil, Bitcoin, and gold are shown to be leading the stock indices in our vector error correction model (VECM) analysis, implying that changes in the price of these commodities influence the stock indices. The findings also indicate that investors exposed to Malaysian stock indexes and investing in Bitcoin may benefit from significant diversification advantages across almost all investment horizons. However, the MGARCH-DCC result shows that Bitcoin is highly unpredictable. As a precaution, Malaysian investors should choose gold as a diversification instrument which is more stable. The wavelet model demonstrates that investors in Malaysia’s Islamic and conventional indices may benefit from the gold holding for durations ranging from 1 to 64 days and 128 days beyond. The findings highlight the importance of using contemporary techniques to identify diversification opportunities for investors with varied investment horizons or holding stocks for various times. - Some of the metrics are blocked by yourconsent settings
Publication Revisiting the Role of Bank's Capital, Loan Loss Provisioning and Risky Assets to Credit Risk in Malaysia: An Application of Dynamic Heterogenous Panel Technique(Academic Research Publishing Group, 2018)Hishamuddin Abdul WahabThe issue of credit risk among financial institutions has become de rigueur matter for many years particularly among risk managers, market players, regulators and academia in Malaysia. The negligence over specific credit risk factors in credit risk management could herald to the balance sheet loss as what happened in the US mortgage prime crisis. This paper is presented primarily to investigate the long run and short run relationship between credit risk and bank specific factors such as capital adequacy(CAR), loan loss provisioning(PROV) and risky assets (RWA) across different types of banks comprising Islamic banks, Islamic banking windows, commercial banks and investment banks in Malaysia. The application of heterogeneous panel model namely Pooled mean group (PMG) will allow for heterogeneity effect across non-homogenous banking operations. From our findings, it is evident that an increase in capital level reduces default problem for Islamic banking windows. Further, we find positive association between RWA and NPL and also between PROV and NPL which implies that loan loss provisioning could be important signal of risk taking behaviour. Besides that, our results also suggest that the nature of credit risk among Islamic banks in Malaysia are still following market force given by the fact that their credit risk management routines still follow the conventional practices. - Some of the metrics are blocked by yourconsent settings
Publication The Wavelet Multi-Scale Analysis of Exchange Rate Exposure: An Application to Malaysian Consumer Products and Services Sector(Global Academy of Training and Research (GATR) Enterprise, 2023) ;Hishamuddin Abdul WahabNurul Afaaf Mohd NasirObjective - Past efforts in assessing foreign exchange rate exposure assume homogeneity in the level of exposure across time horizons which seems to be impractical due to the dynamic nature of comovement between firm value and exchange rate. Methodology – Given this, the study aimed to investigate the multi-scale relationships between changes in exchange rates and firm values of 56 multinational corporations in the consumer products and services sector from January 2000 to December 2020. Findings – The novelty of the study lies upon the application of Maximal Overlap Discrete Wavelet Transformation (MODWT) method which allows decomposition of a single time series domain into different time domains. The fragmentation into multiple time domains allows the measurement of scale-dependent foreign exchange exposure. As a result, the study discovered a non-monotonic trend for wavelet scale j of currency exposure across time scales. In particular, there was a gradual increase in the magnitude of beta exchange exposure and the proportion of exposed firms from low to high time scales. This finding suggested that firm value is more sensitive to changes in the exchange rate within a widened time domain. Novelty – The study demonstrated on how the wavelet technique can be used to measure foreign exchange risk and aided firm managers and market participants in managing foreign exchange risk for a specific time interval.