Proceedings of the International Conference on Mathematical Sciences and Statistics 2022 (ICMSS 2022)

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Analysing Time-Scales Currency Exposure Using Maximal Overlap Discrete Wavelet Transform (MODWT) for Malaysian Industrial

Authors
Nurul Afaaf Mohd Nasir1, *, Hishamuddin Abdul Wahab1
1Faculty of Science and Technology, Universiti Sains Islam Malaysia, 71800, Nilai, Negeri Sembilan, Malaysia
*Corresponding author. Email: nurulafaaf@raudah.usim.edu.my
Corresponding Author
Nurul Afaaf Mohd Nasir
Available Online 12 December 2022.
DOI
10.2991/978-94-6463-014-5_37How to use a DOI?
Keywords
Currency Exposure; Wavelet Analysis; Maximal Overlap Discrete Wavelet Transform (MODWT); Industrial Products and Services
Abstract

Based on dynamic nature of foreign exchange rate risk toward Malaysian firms across different time horizons, this paper is motivated to investigate the multiscale effect of currency exposure using wavelet analysis for 71 industrial products and services firms listed on the main market of Bursa Malaysia. The study employed Daubechies Least Asymmetric as a special wavelet filter in Maximal Overlap Discrete Wavelet Transform (MODWT) method to decompose a given time series into different time-intervals from January 2000 till December 2020. Specifically, the study found that there was non-monotonic exchange risk concentration from low to high time scale. As a result, as time horizon widened, the firm profitability becomes more sensitive to the foreign currency fluctuations. Besides, majority of the sample firms were negatively exposed to the Euro (EUR), and Japanese Yen (JPY) indicating that Malaysia industrial firms were benefited from depreciation of these currencies. Given the significant time scale effect of currency exposure, firm managers and investors should incorporate the length of transactions in foreign exchange risk assessment for greater accuracy and timely decision making in hedging strategies.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the International Conference on Mathematical Sciences and Statistics 2022 (ICMSS 2022)
Series
Advances in Computer Science Research
Publication Date
12 December 2022
ISBN
978-94-6463-014-5
ISSN
2352-538X
DOI
10.2991/978-94-6463-014-5_37How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Nurul Afaaf Mohd Nasir
AU  - Hishamuddin Abdul Wahab
PY  - 2022
DA  - 2022/12/12
TI  - Analysing Time-Scales Currency Exposure Using Maximal Overlap Discrete Wavelet Transform (MODWT) for Malaysian Industrial
BT  - Proceedings of the International Conference on Mathematical Sciences and Statistics 2022 (ICMSS 2022)
PB  - Atlantis Press
SP  - 426
EP  - 439
SN  - 2352-538X
UR  - https://doi.org/10.2991/978-94-6463-014-5_37
DO  - 10.2991/978-94-6463-014-5_37
ID  - Nasir2022
ER  -