Empirical Analysis on Exchange Rate Fluctuation and Sectoral Stock Returns in Malaysia

• Main Authors: Norimah Rambeli, Ramli, Emilda, Hashim, Asmawi, Hashim, Dyg Affizzah, Awang Marikan, Podivinsky, Jan M.P.
• Format: Article
• Language: English
• Published: Jurnal Ekonomi Malaysia 2017
• Subjects: H Social Sciences (General); HC Economic History and Conditions
• Online Access: http://ir.unimas.my/id/eprint/17897/13/Empirical.pdf; http://ir.unimas.my/id/eprint/17897/; http://dx.doi.org/10.17576/JEM-2017-5001-3
• Institution: Universiti Malaysia Sarawak

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...