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Jurnal Ekonomi Malaysia

45 2011 21 – 31

Does Firm-Level Equity Return Respond to Domestic and International Monetary Policy Shocks? A Panel Data Study of Malaysia
Adakah Kadar Pulangan Ekuiti Firma Bertindakbalas kepada Kejutan Dasar Kewangan Domestik dan Antarabangsa

School of Economics
Universiti Kebangsaan Malaysia
43600, UKM, Bangi, Selangor,

mz@ukm.my

School of Economics
Universiti Kebangsaan Malaysia
43600, UKM, Bangi, Selangor,

azlan@ukm.my

Faculty of Business and Economics
Universiti Malaysia Sarawak
94300 Kota Samarahan, Sarawak


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.

Keywords

augmented Fama-French multifactor model; dynamic panel data; firm’s stock return; monetary policy shocks
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Abdul Karim, , Zaidi, , & 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, 21–31.

@article{Karim2011does,
  title={Does Firm-Level Equity Return Respond to Domestic and International Monetary Policy Shocks? A Panel Data Study of Malaysia},
  author={Abdul Karim, Zulkefly and Zaidi, Mohd Azlan Shah and Karim, Bakri},
  journal={Jurnal Ekonomi Malaysia},
  volume={45},
  number={},
  pages={21—31},
 

year={2011},
}

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