Browsing by Author "Wan Nurhanan Wan Suhaimi"
Now showing 1 - 4 of 4
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 The Effect Of Asymmetry, Time-Varying, Multiscale And Corporate Hedging Towards Foreign Currency Exposure Of Malaysian Non-Financial Firms(Universiti Sains Islam Malaysia, 2022-04)Wan Nurhanan Wan SuhaimiForeign currency fluctuations are one of the key sources of market risks for firms with global operations. Firms in developing countries face greater foreign exchange exposure level due to higher market openness and hedging intensity. However, comprehensive study on the level of exchange rate exposure in a small open economy such as Malaysia remains scarce. As existing studies of currency exposure in Malaysia ignore the asymmetric relationship of firm value and exchange rate movement that could cause estimation bias, the first objective of this study analyses the symmetric and asymmetric exchange rate exposure of non-financial firms in Malaysia. Data are collected from 207 non-financial firms from 1995 to 2016. On the overall symmetric exposure, the analysis finds significant negative overall stock returns exposure to changes in the USD. The firm-level analysis is conducted using regression with GARCH(1,1) specification and finds that symmetric exposure significantly affected 35.75% of the sample firms. As for asymmetric exposure, 16.43% of the firm are significantly affected by the USD appreciation, while 10.14% firms are significantly affected by the USD depreciation. Sensitivity of Malaysia’s open economy towards market changes leads to the second objective which analyses currency exposure level by considering the time-varying factor. The findings show decreasing exposure levels throughout the sub-periods, with notable different significant levels during Asian financial crisis (AFC), global financial crisis (GFC) and peg periods suggesting event specific nature of foreign exchange exposure. Afterward, existence of vast investment preferences in the market drives the third objective which focuses on multiscale exchange rate exposure by using the maximal overlap discrete wavelet transformation (MODWT) analysis on daily data. The study finds higher and negative exposure at higher time scale (wider investment horizon) for the overall analysis. Sequentially, low level of hedging practice shown in our preliminary analysis prompts the study to further analyse the effect of corporate hedging practices towards the sample firms. The hedging practice is segregated into financial and operational hedging. The findings show significant effect of financial hedging in managing the currency exposure level. However, operational hedging fails to exert significant influence towards firm value for both cross-countries and regional diversifications. Our results offer broadly applicable implications for Malaysian firms with high currency exposure to consider the financial derivatives in their foreign exchange risk management strategies. For operational hedging, the effectiveness of geographical diversification could be enhanced under greater regional expansion where diversification benefits could be fully realised. - Some of the metrics are blocked by yourconsent settings
Publication Causal Nexus Between Currency Exposure and Stock Returns of Non-Financial MNCS Under Two Financial Crises in Malaysia(Fakulti Ekonomi dan Muamalat, Universiti Sains Islam Malaysia, 2023) ;Wan Nurhanan Wan SuhaimiAiza Liyana AnuarMalaysia practises high level economic openness which makes it an interesting avenue to study currency exposure. Based on this, this paper comparatively examines the relationship between currency exposure and stock returns among non-financial multinationals corporations in Malaysia by utilising the OLS and Granger causality tests. These tests were run using data from 207 non-financial Malaysian under two financial crises namely the Asian financial crisis (AFC) and global financial crisis (GFC) in 1997 and 2008, respectively. The distinct foundations of these crises are believed to induce varying levels of currency exposure and different nexus between currency exposure and stock returns of the selected multinationals. The firm-level OLS estimation found that higher number of firms’ stock returns were affected by currency exposure compared to the composition of significantly affected firm in Granger causality estimation (regardless of the causal directions). Still, the significant relationship and bilateral causality under both estimations were comparatively higher during the AFC. With this, the findings answer the elemental questions of the paper that dictate different market foundations during AFC and GFC, as well as providing evidences on the potential varying significant levels when bilateral causality is considered (Granger causality) compared to unidirectional relationship (OLS). The detailed analyses may guide future researcher to conduct the study of currency exposure by approaching different direction of causal relationship between currency exposure and stock re and market conditions. - Some of the metrics are blocked by yourconsent settings
Publication A Drivers Of Islamic Bond Liquidity In Malaysia: Latent Liquidity Approach(Canadian Center of Science and Education, 2018) ;Rusmawati Said ;Wan Nurhanan Wan Suhaimi ;Norhuda Abd RahimAsmaddy HarisA steady liquidity level is an importance characteristic of a financial market, especially after the 2008 financial crisis. The Islamic financial market was virtually isolated from the crisis. It is interesting to explore the underlying determinants that stabilise a market’s liquidity level. This paper studies the determinants of a Sukuk’s liquidity level in the Malaysian bond marketusing a new liquidity measure known as latent liquidity. The measure does not require transaction data, which makes it applicable to an illiquid market such as the Malaysian bond market. Utilising data from the Malaysian bond market, the paper involves two steps of data analyses, namely an insight into the trend and the liquidity level of the Sukuk market. It then continues to investigate the driver of Sukuk’s liquidity using the latent liquidity as a proxy against five Sukuk characteristics in a random effect regression model. Four variables issuance amount, maturity, coupon rate, and age are found to be significant drivers of Sukuk’s liquidity level. Conclusions drawn from the regression results indicate Sukuk’s investors’ preference in matching long term Sukuk with their long term liabilities, in addition to their fondness for keeping their Sukuk to amortise the return.