TIME-VARYING CURRENCY EXPOSURE OF NON-FINANCIAL FIRMS IN MALAYSIA: COMPARISON BETWEEN THREE SIGNIFICANT FINANCIAL PERIODS

Wan Nurhanan Wan Suhaimi; Nor Haziah Hashim

doi:10.33102/vq30y911

Authors

Wan Nurhanan Wan Suhaimi Faculty of Economics and Muamalat, Universiti Sains Islam Malaysia, Nilai, Negeri Sembilan, Malaysia Author
Nor Haziah Hashim Faculty of Economics and Muamalat, Universiti Sains Islam Malaysia, Nilai, Negeri Sembilan, Malaysia Author

DOI:

https://doi.org/10.33102/vq30y911

Keywords:

Currency exposure, time-varying exposure, financial crisis, non-financial firms, exchange rate exposure

Abstract

This paper examines the level of currency exposure of selected non-financial firms in Malaysia. The sample period shall include three noteworthy financial periods namely the Asian financial crisis (AFC) in 1997, global financial crisis (GFC) in 2008, and post-COVID period in 2023. The analysis will employ daily data that are to be collected from both the Bloomberg and Datastream databases. Once collected, the data will be analysed using the OLS method with incorporation of dummy variable to denote the different financial periods. The study is believed to show significant exposure level during the AFC in comparison to the GFC due to the nature of the crisis. However, the post-COVID period remains as a very interesting timeframe as it carries a more widespread crisis effect. This also serves as the novelty of the study as incorporating the post-COVID period provides a fresh outlook in term of side-by-side comparison between three consecutive major financial events for the past three decades. Curating such comparison also merits as a fascinating research due to the staggering differences between the three financial periods. The detailed analysis will enable articulation of more accurate policy making and risk management among the involved parties, particularly in Malaysian market.

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