Abstract
This paper investigates the relationship of foreign exchange rate movements on national market returns in Malaysia and Singapore using multi-bilateral exchange rates Euro (EUR), Japanese Yen (JPY) and Chinese Renminbi (CNY). The contemporaneous, asymmetric and lagged exchange exposure framework is used to investigate the nature of these exchange rate movements towards national market returns. Our study results show that both Malaysia and Singapore market returns are exposed to those currencies. The relationship of JPY and CNY exchange rate movements towards national market returns is contemporaneous in both countries. Meanwhile, EUR has a contemporaneous effect on national market returns in Malaysia but a lagged 1-month relationship in Singapore. Only JPY exchange rate returns have significant asymmetric effects on national market returns in Singapore. Future research should be conducted at industry and firm levels for more countries to better understand the stylised exchange rate exposure for mitigation purposes. Choice of the market index should also be taken into consideration when investigating the exchange rate exposure at the country level.
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Notes
- 1.
MSCI website, http://www.msci.com, provides access to their database.
- 2.
One of convergence criteria to join the Euro is price stability or inflation controlled. Available at http://ec.europa.eu/economy_finance/euro/adoption/who_can_join/index_en.htm. Access 02 April 2016.
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Lily, J., Bujang, I., Karia, A.A., Kogid, M. (2018). Revisiting Exchange Rate Exposure: A Case Study of Malaysia and Singapore. In: Noordin, F., Othman, A., Kassim, E. (eds) Proceedings of the 2nd Advances in Business Research International Conference. Springer, Singapore. https://doi.org/10.1007/978-981-10-6053-3_13
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