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

This paper examines the effect of domestic and international monetary policy shocks upon malaysian firm level equiry returns in a dynamic panel data framework. The determinant of firm-level equiry return has been estimed using augmented Fama and French (1992,1996)multifactor model. The results of th...

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Main Authors: Zulkefly Abdul Karim,, Mohd.Azlan Shah Zaidi,, Bakri Abdul Karim,
Format: Article
Published: Penerbit Universiti Kebangsaan Malaysia 2011
Online Access:http://journalarticle.ukm.my/4736/
http://www.ukm.my/penerbit/jem.htm
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spelling my-ukm.journal.47362012-05-24T02:01:16Z http://journalarticle.ukm.my/4736/ Does firm-level equity return respond to domestic and international monetary policy shocks? a panel data study of Malaysia. Zulkefly Abdul Karim, Mohd.Azlan Shah Zaidi, Bakri Abdul Karim, This paper examines the effect of domestic and international monetary policy shocks upon malaysian firm level equiry returns in a dynamic panel data framework. The determinant of firm-level equiry return has been estimed 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. Penerbit Universiti Kebangsaan Malaysia 2011-12 Article PeerReviewed Zulkefly Abdul Karim, and Mohd.Azlan Shah Zaidi, and Bakri Abdul Karim, (2011) Does firm-level equity return respond to domestic and international monetary policy shocks? a panel data study of Malaysia. Jurnal Ekonomi Malaysia, 45 . pp. 21-31. ISSN 0127-1962 http://www.ukm.my/penerbit/jem.htm
institution Universiti Kebangsaan Malaysia
building Perpustakaan Tun Sri Lanang Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Kebangsaan Malaysia
content_source UKM Journal Article Repository
url_provider http://journalarticle.ukm.my/
description This paper examines the effect of domestic and international monetary policy shocks upon malaysian firm level equiry returns in a dynamic panel data framework. The determinant of firm-level equiry return has been estimed 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.
format Article
author Zulkefly Abdul Karim,
Mohd.Azlan Shah Zaidi,
Bakri Abdul Karim,
spellingShingle Zulkefly Abdul Karim,
Mohd.Azlan Shah Zaidi,
Bakri Abdul Karim,
Does firm-level equity return respond to domestic and international monetary policy shocks? a panel data study of Malaysia.
author_facet Zulkefly Abdul Karim,
Mohd.Azlan Shah Zaidi,
Bakri Abdul Karim,
author_sort Zulkefly Abdul Karim,
title Does firm-level equity return respond to domestic and international monetary policy shocks? a panel data study of Malaysia.
title_short Does firm-level equity return respond to domestic and international monetary policy shocks? a panel data study of Malaysia.
title_full Does firm-level equity return respond to domestic and international monetary policy shocks? a panel data study of Malaysia.
title_fullStr Does firm-level equity return respond to domestic and international monetary policy shocks? a panel data study of Malaysia.
title_full_unstemmed Does firm-level equity return respond to domestic and international monetary policy shocks? a panel data study of Malaysia.
title_sort does firm-level equity return respond to domestic and international monetary policy shocks? a panel data study of malaysia.
publisher Penerbit Universiti Kebangsaan Malaysia
publishDate 2011
url http://journalarticle.ukm.my/4736/
http://www.ukm.my/penerbit/jem.htm
_version_ 1643736182170845184
score 13.211869

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