Revue Organisation et Travail
Volume 12, Numéro 4, Pages 35-45
2024-06-11
The Impact Of Exchange Rate Risk On The Market Value Of Malaysian Listed Commercial Banks
Authors : Mouffok Mohammed Amine . Bouabdallah Wassila . Mouffok Omar .
Abstract
The aim of this study is to determine the impact of exchange rate risk on market value of commercial banks, through an econometric model based on daily market value data of listed commercial banks in Bursa Malaysia during a period of nine years from 2013 to 2022. First, we used Generalized Autoregressive Conditional Heteroscedasticity model to estimate exchange rate volatility of Malaysian Ringgit’s daily price against the United States Dollar (MYR/USD). Then, we estimated a Panel Data model of the market value using the previous values of exchange rate volatility and the change in market value as explanatory variable. The results showed a significant negative relationship between the market value of Malaysian listed commercial banks and the previous values of exchange rate volatility, furthermore, the change in the market value have a significant positive impact on the present value.
Keywords
Exchange rate risk ; Market value ; volatility ; commercial bank ; Panel data
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