Exchange rate volatility and financial performance of agriculture firms in Malaysia: an empirical analysis using GARCH, wavelet and system GMM
The insurgence of exchange rate volatility over the years has gained the attention of not only scholars but also policy makers around the world. This paper investigates the influence of exchange rate volatility to the financial performance of agriculture firms in Malaysia. Authors use the system GMM...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Prague Development Center
2017
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| Online Access: | http://psasir.upm.edu.my/id/eprint/61808/1/Exchange%20rate%20volatility%20and%20financial%20performance%20of%20agriculture%20firms%20in%20Malaysia.pdf |
| _version_ | 1825932393263923200 |
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| author | Md Reaz Mahat, Fauziah Dahir, Ahmed Mohamed Sahabuddin, Mohammad Al Mahi, Abu Saad Md Masnun |
| author_facet | Md Reaz Mahat, Fauziah Dahir, Ahmed Mohamed Sahabuddin, Mohammad Al Mahi, Abu Saad Md Masnun |
| author_sort | Md Reaz |
| collection | UPM |
| description | The insurgence of exchange rate volatility over the years has gained the attention of not only scholars but also policy makers around the world. This paper investigates the influence of exchange rate volatility to the financial performance of agriculture firms in Malaysia. Authors use the system GMM dynamic panel techniques, wavelet coherence technique and GARCH (1, 1) for the period of 2001 and 2015. The findings show that the volatility of exchange rate of Malaysian Ringgit (RM) has a negative impact on the financial performance of agriculture firms in Malaysia. The ARME and AVA demonstrate a positive impact on the financial performance at 1% significance level for the full sample. The findings also reveal that financial performance, exchange rate, consumer price index, and interest rate comove while using the wavelet coherence. |
| first_indexed | 2024-03-06T09:41:20Z |
| format | Article |
| id | upm.eprints-61808 |
| institution | Universiti Putra Malaysia |
| language | English |
| last_indexed | 2024-03-06T09:41:20Z |
| publishDate | 2017 |
| publisher | Prague Development Center |
| record_format | dspace |
| spelling | upm.eprints-618082019-01-29T03:42:01Z http://psasir.upm.edu.my/id/eprint/61808/ Exchange rate volatility and financial performance of agriculture firms in Malaysia: an empirical analysis using GARCH, wavelet and system GMM Md Reaz Mahat, Fauziah Dahir, Ahmed Mohamed Sahabuddin, Mohammad Al Mahi, Abu Saad Md Masnun The insurgence of exchange rate volatility over the years has gained the attention of not only scholars but also policy makers around the world. This paper investigates the influence of exchange rate volatility to the financial performance of agriculture firms in Malaysia. Authors use the system GMM dynamic panel techniques, wavelet coherence technique and GARCH (1, 1) for the period of 2001 and 2015. The findings show that the volatility of exchange rate of Malaysian Ringgit (RM) has a negative impact on the financial performance of agriculture firms in Malaysia. The ARME and AVA demonstrate a positive impact on the financial performance at 1% significance level for the full sample. The findings also reveal that financial performance, exchange rate, consumer price index, and interest rate comove while using the wavelet coherence. Prague Development Center 2017 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/61808/1/Exchange%20rate%20volatility%20and%20financial%20performance%20of%20agriculture%20firms%20in%20Malaysia.pdf Md Reaz and Mahat, Fauziah and Dahir, Ahmed Mohamed and Sahabuddin, Mohammad and Al Mahi, Abu Saad Md Masnun (2017) Exchange rate volatility and financial performance of agriculture firms in Malaysia: an empirical analysis using GARCH, wavelet and system GMM. Business and Economic Horizons, 13 (3). 409 - 427. ISSN 1804-1205; ESSN: 1804-5006 https://academicpublishingplatforms.com/article.php?journal=BEH&number=27&article=2434#abstract 10.15208/beh.2017.29 |
| spellingShingle | Md Reaz Mahat, Fauziah Dahir, Ahmed Mohamed Sahabuddin, Mohammad Al Mahi, Abu Saad Md Masnun Exchange rate volatility and financial performance of agriculture firms in Malaysia: an empirical analysis using GARCH, wavelet and system GMM |
| title | Exchange rate volatility and financial performance of agriculture firms in Malaysia: an empirical analysis using GARCH, wavelet and system GMM |
| title_full | Exchange rate volatility and financial performance of agriculture firms in Malaysia: an empirical analysis using GARCH, wavelet and system GMM |
| title_fullStr | Exchange rate volatility and financial performance of agriculture firms in Malaysia: an empirical analysis using GARCH, wavelet and system GMM |
| title_full_unstemmed | Exchange rate volatility and financial performance of agriculture firms in Malaysia: an empirical analysis using GARCH, wavelet and system GMM |
| title_short | Exchange rate volatility and financial performance of agriculture firms in Malaysia: an empirical analysis using GARCH, wavelet and system GMM |
| title_sort | exchange rate volatility and financial performance of agriculture firms in malaysia an empirical analysis using garch wavelet and system gmm |
| url | http://psasir.upm.edu.my/id/eprint/61808/1/Exchange%20rate%20volatility%20and%20financial%20performance%20of%20agriculture%20firms%20in%20Malaysia.pdf |
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