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Currency Exposure And Time Scales: Application Of Wavelet Method To Malaysian Non-financial Firms

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dc.contributor.authorWan Nurhanan Wan Suhaimi,en_US
dc.contributor.authorHishamuddin Abdul Wahab,en_US
dc.contributor.authorRabihah Md. Sumen_US
dc.date.accessioned2024-05-28T04:24:18Z
dc.date.available2024-05-28T04:24:18Z
dc.date.issued2019
dc.date.submitted20/2/2020
dc.descriptionInternational Journal of Recent Technology and Engineering (IJRTE) ISSN: 2277-3878, Volume-8 Issue-3S3, November 2019en_US
dc.description.abstractThe 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.en_US
dc.identifier.doi10.35940/ijrte.C1050.1183S319
dc.identifier.epage192
dc.identifier.issn2277-3878
dc.identifier.issue3S3
dc.identifier.other977-6
dc.identifier.spage187
dc.identifier.urichrome-extension://efaidnbmnnnibpcajpcglclefindmkaj/viewer.html?pdfurl=https%3A%2F%2Fwww.ijrte.org%2Fwp-content%2Fuploads%2Fpapers%2Fv8i3s3%2FC10501183S319.pdf&clen=615829&chunk=true
dc.identifier.urihttps://oarep.usim.edu.my/handle/123456789/5541
dc.identifier.volume8
dc.language.isoenen_US
dc.publisherBlue Eyes Intelligence Engineering & Sciences Publicationen_US
dc.relation.ispartofInternational Journal of Recent Technology and Engineeringen_US
dc.subjectExchange rate,en_US
dc.subjectCurrency exposure,en_US
dc.subjectWavelet,en_US
dc.subjectMalaysia.en_US
dc.titleCurrency Exposure And Time Scales: Application Of Wavelet Method To Malaysian Non-financial Firmsen_US
dc.typeArticleen_US
dspace.entity.typePublication

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