Cover Image

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...

Full description

Saved in:
Bibliographic Details
Main Authors: Md Reaz, Mahat, Fauziah, Dahir, Ahmed Mohamed, Sahabuddin, Mohammad, Al Mahi, Abu Saad Md Masnun
Format: Article
Language:English
Published: Prague Development Center 2017
Online Access:http://psasir.upm.edu.my/id/eprint/61808/1/Exchange%20rate%20volatility%20and%20financial%20performance%20of%20agriculture%20firms%20in%20Malaysia.pdf
http://psasir.upm.edu.my/id/eprint/61808/
https://academicpublishingplatforms.com/article.php?journal=BEH&number=27&article=2434#abstract
Tags: Add Tag
No Tags, Be the first to tag this record!
id my.upm.eprints.61808
record_format eprints
spelling my.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
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
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.
format Article
author Md Reaz
Mahat, Fauziah
Dahir, Ahmed Mohamed
Sahabuddin, Mohammad
Al Mahi, Abu Saad Md Masnun
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
author_facet Md Reaz
Mahat, Fauziah
Dahir, Ahmed Mohamed
Sahabuddin, Mohammad
Al Mahi, Abu Saad Md Masnun
author_sort Md Reaz
title 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_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_sort exchange rate volatility and financial performance of agriculture firms in malaysia: an empirical analysis using garch, wavelet and system gmm
publisher Prague Development Center
publishDate 2017
url http://psasir.upm.edu.my/id/eprint/61808/1/Exchange%20rate%20volatility%20and%20financial%20performance%20of%20agriculture%20firms%20in%20Malaysia.pdf
http://psasir.upm.edu.my/id/eprint/61808/
https://academicpublishingplatforms.com/article.php?journal=BEH&number=27&article=2434#abstract
_version_ 1643837600107069440
score 13.211869

Similar Items