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://journalarticle.ukm.my/4736/

id	ukm-4736
recordtype	eprints
spelling	ukm-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
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
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://journalarticle.ukm.my/4736/
first_indexed	2023-09-18T19:42:21Z
last_indexed	2023-09-18T19:42:21Z
_version_	1777405674852974592

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

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