Stock market volatility and exchange rate regime in Malaysia: a preliminary analysis / Noor Zahirah Mohd Sidek, Norridzwan Abidin and Azli Umar
The choice of exchange rate regime and its possible impact on economic performance has recently become a new area of interest amongst both economists and policy makers. The study on the impact of exchange rate regime on financial performance, however, is relatively scarce, partly due to theoreti...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Teknologi MARA, Kedah
2011
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| Online Access: | https://ir.uitm.edu.my/id/eprint/30890/ |
| _version_ | 1848807613845733376 |
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| author | Mohd Sidek, Noor Zahirah Abidin, Norridzwan Umar, Azli |
| author_facet | Mohd Sidek, Noor Zahirah Abidin, Norridzwan Umar, Azli |
| author_sort | Mohd Sidek, Noor Zahirah |
| building | UiTM Institutional Repository |
| collection | Online Access |
| description | The choice of exchange rate regime and its possible impact on economic
performance has recently become a new area of interest amongst both
economists and policy makers. The study on the impact of exchange rate
regime on financial performance, however, is relatively scarce, partly due
to theoretical ambiguity and the definition of financial performance itself.
Hence, this study intends to fill this gap by focusing on the stock return volatility
of selected stock return indices in Malaysia over different exchange
rate regimes. Specifically, the objective of this paper is to examine the
impact of exchange rate regime on selected stock market return volatility.
We draw on GARCH(1,1) to capture volatility clustering phenomenon.
Results suggest that stock return is less volatile during managed float for
Trade and Services, Construction and Finance stock return indices only.
The Plantation stock return index, on the other hand, exhibits more volatility
during managed float period. |
| first_indexed | 2025-11-14T22:45:37Z |
| format | Article |
| id | uitm-30890 |
| institution | Universiti Teknologi MARA |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T22:45:37Z |
| publishDate | 2011 |
| publisher | Universiti Teknologi MARA, Kedah |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | uitm-308902020-06-03T07:28:26Z https://ir.uitm.edu.my/id/eprint/30890/ Stock market volatility and exchange rate regime in Malaysia: a preliminary analysis / Noor Zahirah Mohd Sidek, Norridzwan Abidin and Azli Umar voa Mohd Sidek, Noor Zahirah Abidin, Norridzwan Umar, Azli Financial management. Business finance. Corporation finance The choice of exchange rate regime and its possible impact on economic performance has recently become a new area of interest amongst both economists and policy makers. The study on the impact of exchange rate regime on financial performance, however, is relatively scarce, partly due to theoretical ambiguity and the definition of financial performance itself. Hence, this study intends to fill this gap by focusing on the stock return volatility of selected stock return indices in Malaysia over different exchange rate regimes. Specifically, the objective of this paper is to examine the impact of exchange rate regime on selected stock market return volatility. We draw on GARCH(1,1) to capture volatility clustering phenomenon. Results suggest that stock return is less volatile during managed float for Trade and Services, Construction and Finance stock return indices only. The Plantation stock return index, on the other hand, exhibits more volatility during managed float period. Universiti Teknologi MARA, Kedah 2011 Article PeerReviewed text en https://ir.uitm.edu.my/id/eprint/30890/1/AJ_NOOR%20ZAHIRAH%20MOHD%20SIDEK%20VOA%20K%2011.pdf Mohd Sidek, Noor Zahirah and Abidin, Norridzwan and Umar, Azli (2011) Stock market volatility and exchange rate regime in Malaysia: a preliminary analysis / Noor Zahirah Mohd Sidek, Norridzwan Abidin and Azli Umar. (2011) Voice of Academia (VOA) <https://ir.uitm.edu.my/view/publication/Voice_of_Academia_=28VOA=29.html>, 6 (2). pp. 17-30. ISSN 2682-7840 https://voa.uitm.edu.my/ |
| spellingShingle | Financial management. Business finance. Corporation finance Mohd Sidek, Noor Zahirah Abidin, Norridzwan Umar, Azli Stock market volatility and exchange rate regime in Malaysia: a preliminary analysis / Noor Zahirah Mohd Sidek, Norridzwan Abidin and Azli Umar |
| title | Stock market volatility and exchange rate regime in Malaysia: a preliminary analysis / Noor Zahirah Mohd Sidek, Norridzwan Abidin and Azli Umar |
| title_full | Stock market volatility and exchange rate regime in Malaysia: a preliminary analysis / Noor Zahirah Mohd Sidek, Norridzwan Abidin and Azli Umar |
| title_fullStr | Stock market volatility and exchange rate regime in Malaysia: a preliminary analysis / Noor Zahirah Mohd Sidek, Norridzwan Abidin and Azli Umar |
| title_full_unstemmed | Stock market volatility and exchange rate regime in Malaysia: a preliminary analysis / Noor Zahirah Mohd Sidek, Norridzwan Abidin and Azli Umar |
| title_short | Stock market volatility and exchange rate regime in Malaysia: a preliminary analysis / Noor Zahirah Mohd Sidek, Norridzwan Abidin and Azli Umar |
| title_sort | stock market volatility and exchange rate regime in malaysia: a preliminary analysis / noor zahirah mohd sidek, norridzwan abidin and azli umar |
| topic | Financial management. Business finance. Corporation finance |
| url | https://ir.uitm.edu.my/id/eprint/30890/ https://ir.uitm.edu.my/id/eprint/30890/ |