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Does Firm-Level Equity Return Respond to Domestic and International Monetary Policy Shocks? A Panel Data Study of Malaysia

Jurnal Ekonomi Malaysia

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Title Does Firm-Level Equity Return Respond to Domestic and International Monetary Policy Shocks? A Panel Data Study of Malaysia
 
Creator Abdul Karim, Zulkefly
Zaidi, Mohd Azlan Shah
Abdul Karim, Bakri
 
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Description ABSTRACTThis 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.Keywords: augmented Fama-French multifactor model; dynamic panel data; firm’s stock return; monetary policyshocksABSTRAKKertas ini memeriksa kesan kejutan dasar kewangan domestik dan antarabangsa ke atas kadar pulangan ekuitifirma di Malaysia dalam rangka bentuk data panel dinamik. Penentu-penentu kadar pulangan ekuiti firma telah dianggar dengan menggunakan model pelbagai faktor Fama dan French (1992, 1996). Keputusan kajianmenunjukkan kadar pulangan ekuiti firma berhubungan secara negatif dengan kejutan dasar kewangan domestikdan antarabangsa. Kejutan dasar kewangan domestik juga mempunyai kesan yang berbeza, iaitu signifikanmempengaruhi kadar pulangan ekuiti firma yang bersaiz kecil, tetapi tidak signifikan mempengaruhi kadar pulanganfirma bersaiz besar. Dasar kewangan domestik juga memberikan kesan yang berbeza ke atas kadar pulangan ekuiti firma mengikut sub-sektor aktiviti ekonomi. Kejutan dasar kewangan antarabangsa ke atas kadar pulangan ekuiti firma juga berbeza mengikut saiz firma dan sub-sektor aktiviti ekonomi.Kata kunci: imbuhan model pelbagai faktor Fama-French; data panel dinamik; kadar pulangan ekuiti firma; kejutandasar kewangan
 
Publisher Universiti Kebangsaan Malaysia
 
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Date 2012-10-24
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
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Format application/pdf
 
Identifier http://ejournal.ukm.my/jem/article/view/1335
 
Source Jurnal Ekonomi Malaysia; Vol 45 (2011): Jurnal Ekonomi Malaysia
0126-1962
 
Language eng
 
Relation http://ejournal.ukm.my/jem/article/view/1335/1199
 
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