Publication: Currency Exposure And Time Scales: Application Of Wavelet Method To Malaysian Non-financial Firms
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Date
2019
Journal Title
Journal ISSN
Volume Title
Publisher
Blue Eyes Intelligence Engineering & Sciences Publication
Abstract
The paper estimates the multiscale relationship between stock prices and exchange rates of 75 Malaysian non-financial firms by applying the wavelet analysis on daily data running from 1995 to 2016. The analysis is done for the overall sample and also by segregating the selected firms into 15 industries in Malaysia. Results from the ordinary least square (OLS) regression are also obtained for comparison purpose. The beta coefficients of exposure are shown to exhibit multiscale tendency in all analyses. Higher exposure is recorded at higher timescale for the overall and negative exposure, confirming the initial prediction of higher exposure in wider investment horizon. The study also shows higher wavelet exposure at high scale compared to the exposure obtained from the OLS estimate, providing support on the higher measurement power of the wavelet analysis to study the exposure level.
Index Terms: Exchange rate, Currency exposure, Wavelet, Malaysia.
Description
International Journal of Recent Technology and Engineering (IJRTE) ISSN: 2277-3878, Volume-8 Issue-3S3, November 2019
Keywords
Exchange rate,, Currency exposure,, Wavelet,, Malaysia.