Empirical analysis on exchange rate fluctuation and sectoral stock returns in Malaysia

The purpose of this study is to observe the impact of the exchange rate fluctuation in Malaysia on sectors stock returns by using an augmented standard capital asset pricing model from October, 1992 to December, 2015. This paper extends previous studies on exchange rate fluctuation for the case of...

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Main Authors:	Norimah Rambeli @ Ramli, Emilda Hashim, Asmawi Hashim, Dayang Affizzah Awang Marikan, Podivinsky, Jan M.
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2017
Online Access:	http://journalarticle.ukm.my/11241/ http://journalarticle.ukm.my/11241/ http://journalarticle.ukm.my/11241/1/jeko_51%281%29-3.pdf

id	ukm-11241
recordtype	eprints
spelling	ukm-112412018-01-13T23:13:05Z http://journalarticle.ukm.my/11241/ Empirical analysis on exchange rate fluctuation and sectoral stock returns in Malaysia Norimah Rambeli @ Ramli, Emilda Hashim, Asmawi Hashim, Dayang Affizzah Awang Marikan, Podivinsky, Jan M. The purpose of this study is to observe the impact of the exchange rate fluctuation in Malaysia on sectors stock returns by using an augmented standard capital asset pricing model from October, 1992 to December, 2015. This paper extends previous studies on exchange rate fluctuation for the case of Malaysia by estimating the augmented capital asset pricing model for the price indexes sectors, including financial, plantation, properties, industrial, tin and mining, trade and services, consumer products and construction sector indexes. Moreover, this study also expands the literature by adapting the modelling proposed by Ibrahim (2008) by considering the exchange rate volatility, Asian financial crisis dummy and pegging exchange rate dummy. Such an analysis significant in part because of the importance of exchange rate fluctuation as drivers of sectoral returns. In general this study successfully documented the exchange rate fluctuation scenario in Malaysia. Overall, the result suggests that the exchange rate fluctuation in Malaysia can be categorized as the long memory in the volatility process. The results further suggest the sectors are largely affected by the currency fluctuated. Penerbit Universiti Kebangsaan Malaysia 2017 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/11241/1/jeko_51%281%29-3.pdf Norimah Rambeli @ Ramli, and Emilda Hashim, and Asmawi Hashim, and Dayang Affizzah Awang Marikan, and Podivinsky, Jan M. (2017) Empirical analysis on exchange rate fluctuation and sectoral stock returns in Malaysia. Jurnal Ekonomi Malaysia, 51 (1). pp. 33-40. ISSN 0127-1962 http://www.ukm.my/fep/jem/content/2017.html
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	The purpose of this study is to observe the impact of the exchange rate fluctuation in Malaysia on sectors stock returns by using an augmented standard capital asset pricing model from October, 1992 to December, 2015. This paper extends previous studies on exchange rate fluctuation for the case of Malaysia by estimating the augmented capital asset pricing model for the price indexes sectors, including financial, plantation, properties, industrial, tin and mining, trade and services, consumer products and construction sector indexes. Moreover, this study also expands the literature by adapting the modelling proposed by Ibrahim (2008) by considering the exchange rate volatility, Asian financial crisis dummy and pegging exchange rate dummy. Such an analysis significant in part because of the importance of exchange rate fluctuation as drivers of sectoral returns. In general this study successfully documented the exchange rate fluctuation scenario in Malaysia. Overall, the result suggests that the exchange rate fluctuation in Malaysia can be categorized as the long memory in the volatility process. The results further suggest the sectors are largely affected by the currency fluctuated.
format	Article
author	Norimah Rambeli @ Ramli, Emilda Hashim, Asmawi Hashim, Dayang Affizzah Awang Marikan, Podivinsky, Jan M.
spellingShingle	Norimah Rambeli @ Ramli, Emilda Hashim, Asmawi Hashim, Dayang Affizzah Awang Marikan, Podivinsky, Jan M. Empirical analysis on exchange rate fluctuation and sectoral stock returns in Malaysia
author_facet	Norimah Rambeli @ Ramli, Emilda Hashim, Asmawi Hashim, Dayang Affizzah Awang Marikan, Podivinsky, Jan M.
author_sort	Norimah Rambeli @ Ramli,
title	Empirical analysis on exchange rate fluctuation and sectoral stock returns in Malaysia
title_short	Empirical analysis on exchange rate fluctuation and sectoral stock returns in Malaysia
title_full	Empirical analysis on exchange rate fluctuation and sectoral stock returns in Malaysia
title_fullStr	Empirical analysis on exchange rate fluctuation and sectoral stock returns in Malaysia
title_full_unstemmed	Empirical analysis on exchange rate fluctuation and sectoral stock returns in Malaysia
title_sort	empirical analysis on exchange rate fluctuation and sectoral stock returns in malaysia
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	2017
url	http://journalarticle.ukm.my/11241/ http://journalarticle.ukm.my/11241/ http://journalarticle.ukm.my/11241/1/jeko_51%281%29-3.pdf
first_indexed	2023-09-18T19:59:46Z
last_indexed	2023-09-18T19:59:46Z
_version_	1777406769736187904

Empirical analysis on exchange rate fluctuation and sectoral stock returns in Malaysia

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