Empirical analysis on exchange rate fluctuation and sectoral stock returns in Malaysia

• Main Authors: Norimah Rambeli @ Ramli, Emilda Hashim, Asmawi Hashim, Dayang Affizzah Awang Marikan, Podivinsky, Jan M.
• Format: Article
• Language: English
• Published: Penerbit Universiti Kebangsaan Malaysia 2017
• Online Access: http://journalarticle.ukm.my/11241/1/jeko_51%281%29-3.pdf; http://journalarticle.ukm.my/11241/; http://www.ukm.my/fep/jem/content/2017.html
• Institution: Universiti Kebangsaan Malaysia

The purpose of this study is to observe the impact of the exchange rate fluctuation in Malaysia on sectors stock returns by using an augmented standard capital asset pricing model from October, 1992 to December, 2015. This paper extends previous studies on exchange rate fluctuation for the case of...