Currency Exposure and Time Scales: Application of Wavelet Method to Malaysian Non-financial Firms
Wan Nurhanan Wan Suhaimi1, Hishamuddin Abdul Wahab2, Rabihah Md. Sum3
1Wan Nurhanan Wan Suhaimi, Academic Fellow Faculty of Science and Technology (FST), Universiti Sains Islam Malaysia.
2Hishamuddin Abdul Wahab, Ph.D, Faculty of Science and Technology (FST), Universiti Sains Islam Malaysia.
3Dr. Rabihah Md, Ph.D, Faculty of Science and Technology (FST), Universiti Sains Islam Malaysia.
Manuscript received on 24 November 2019 | Revised Manuscript received on 05 December 2019 | Manuscript Published on 16 December 2019 | PP: 187-192 | Volume-8 Issue-3S3 November 2019 | Retrieval Number: C10501183S319/2019©BEIESP | DOI: 10.35940/ijrte.C1050.1183S319
Open Access | Editorial and Publishing Policies | Cite | Mendeley | Indexing and Abstracting
© The Authors. Blue Eyes Intelligence Engineering and Sciences Publication (BEIESP). This is an open access article under the CC-BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/)
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.
Keywords: Exchange Rate, Currency Exposure, Wavelet, Malaysia.
Scope of the Article: Social Sciences