Does firm-level equity return respond to domestic and international monetary policy shocks? a panel data study of Malaysia

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4 Citations (Scopus)

Abstract

This paper examines the effect of domestic and international monetary policy shocks upon Malaysian firm-level equity returns in a dynamic panel data framework. The determinant of firm-level equity return has been estimated using augmented Fama and French (1992, 1996) multifactor model. The results of the study revealed that firms' stock returns have responded negatively to domestic and international monetary policy shocks. Interestingly, the effect of domestic monetary policy shocks also have differential effects, having a statistically significant impact on small firms' equity returns, but not on large firms' stock returns. The effect of domestic monetary policy shocks also varies according to the subsector of the economy in which firms are operating. The effect of international monetary policy upon equity returns is also heterogeneous by firm size and subsector of economic activity.

Original languageEnglish
Pages (from-to)21-31
Number of pages11
JournalJurnal Ekonomi Malaysia
Volume45
Issue number1
Publication statusPublished - 2011

Fingerprint

Equity returns
Malaysia
Monetary policy shocks
Panel data
Stock returns
Small firms
Firm size
Large firms
Economic activity
Multifactor model
Dynamic panel data
Monetary policy

Keywords

  • Augmented Fama-French multifactor model
  • Dynamic panel data
  • Firm's stock return
  • Monetary policy shocks

ASJC Scopus subject areas

  • Business, Management and Accounting (miscellaneous)

Cite this

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abstract = "This paper examines the effect of domestic and international monetary policy shocks upon Malaysian firm-level equity returns in a dynamic panel data framework. The determinant of firm-level equity return has been estimated using augmented Fama and French (1992, 1996) multifactor model. The results of the study revealed that firms' stock returns have responded negatively to domestic and international monetary policy shocks. Interestingly, the effect of domestic monetary policy shocks also have differential effects, having a statistically significant impact on small firms' equity returns, but not on large firms' stock returns. The effect of domestic monetary policy shocks also varies according to the subsector of the economy in which firms are operating. The effect of international monetary policy upon equity returns is also heterogeneous by firm size and subsector of economic activity.",
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N2 - This paper examines the effect of domestic and international monetary policy shocks upon Malaysian firm-level equity returns in a dynamic panel data framework. The determinant of firm-level equity return has been estimated using augmented Fama and French (1992, 1996) multifactor model. The results of the study revealed that firms' stock returns have responded negatively to domestic and international monetary policy shocks. Interestingly, the effect of domestic monetary policy shocks also have differential effects, having a statistically significant impact on small firms' equity returns, but not on large firms' stock returns. The effect of domestic monetary policy shocks also varies according to the subsector of the economy in which firms are operating. The effect of international monetary policy upon equity returns is also heterogeneous by firm size and subsector of economic activity.

AB - This paper examines the effect of domestic and international monetary policy shocks upon Malaysian firm-level equity returns in a dynamic panel data framework. The determinant of firm-level equity return has been estimated using augmented Fama and French (1992, 1996) multifactor model. The results of the study revealed that firms' stock returns have responded negatively to domestic and international monetary policy shocks. Interestingly, the effect of domestic monetary policy shocks also have differential effects, having a statistically significant impact on small firms' equity returns, but not on large firms' stock returns. The effect of domestic monetary policy shocks also varies according to the subsector of the economy in which firms are operating. The effect of international monetary policy upon equity returns is also heterogeneous by firm size and subsector of economic activity.

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