Monetary policy shocks, financial constraints and firm-level equity return: panel evidence

The present paper investigates the effect of monetary policy shocks upon the equity returns of financially constrained and less-constrained firms in Malaysia for the 1990-2008 period using firm-level data. Monetary policy shocks are generated via a recursive structural VAR (SVAR) identification sche...

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Main Authors:	Zulkefly Abdul Karim, Mohd. Azlan Shah Zaidi, Bakri Abdul Karim
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2013
Online Access:	http://journalarticle.ukm.my/6984/ http://journalarticle.ukm.my/6984/ http://journalarticle.ukm.my/6984/1/4983-13951-1-PB.pdf

id	ukm-6984
recordtype	eprints
spelling	ukm-69842016-12-14T06:42:46Z http://journalarticle.ukm.my/6984/ Monetary policy shocks, financial constraints and firm-level equity return: panel evidence Zulkefly Abdul Karim, Mohd. Azlan Shah Zaidi, Bakri Abdul Karim, The present paper investigates the effect of monetary policy shocks upon the equity returns of financially constrained and less-constrained firms in Malaysia for the 1990-2008 period using firm-level data. Monetary policy shocks are generated via a recursive structural VAR (SVAR) identification scheme that allows the monetary authority to set the overnight interbank rate after observing the current value of world oil price, foreign income, foreign monetary policy, domestic output and inflation. The Malaysian firms examined are divided into two categories based upon the cash flow to income ratio, namely financially constrained and financially less-constrained. After augmenting the Fama and French (1992, 1996) multifactor model using a dynamic panel data approach, the results reveal that equity returns of financially constrained firms are more affected by domestic monetary policy than the returns of less constrained firms. Meanwhile, international monetary policy shocks significantly influence the equity returns of financially less-constrained firms, but not those of financially constrained firms. Penerbit Universiti Kebangsaan Malaysia 2013 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/6984/1/4983-13951-1-PB.pdf Zulkefly Abdul Karim, and Mohd. Azlan Shah Zaidi, and Bakri Abdul Karim, (2013) Monetary policy shocks, financial constraints and firm-level equity return: panel evidence. Jurnal Pengurusan, 39 . pp. 51-63. ISSN 0127-2713 http://ejournals.ukm.my/pengurusan/index
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	The present paper investigates the effect of monetary policy shocks upon the equity returns of financially constrained and less-constrained firms in Malaysia for the 1990-2008 period using firm-level data. Monetary policy shocks are generated via a recursive structural VAR (SVAR) identification scheme that allows the monetary authority to set the overnight interbank rate after observing the current value of world oil price, foreign income, foreign monetary policy, domestic output and inflation. The Malaysian firms examined are divided into two categories based upon the cash flow to income ratio, namely financially constrained and financially less-constrained. After augmenting the Fama and French (1992, 1996) multifactor model using a dynamic panel data approach, the results reveal that equity returns of financially constrained firms are more affected by domestic monetary policy than the returns of less constrained firms. Meanwhile, international monetary policy shocks significantly influence the equity returns of financially less-constrained firms, but not those of financially constrained firms.
format	Article
author	Zulkefly Abdul Karim, Mohd. Azlan Shah Zaidi, Bakri Abdul Karim,
spellingShingle	Zulkefly Abdul Karim, Mohd. Azlan Shah Zaidi, Bakri Abdul Karim, Monetary policy shocks, financial constraints and firm-level equity return: panel evidence
author_facet	Zulkefly Abdul Karim, Mohd. Azlan Shah Zaidi, Bakri Abdul Karim,
author_sort	Zulkefly Abdul Karim,
title	Monetary policy shocks, financial constraints and firm-level equity return: panel evidence
title_short	Monetary policy shocks, financial constraints and firm-level equity return: panel evidence
title_full	Monetary policy shocks, financial constraints and firm-level equity return: panel evidence
title_fullStr	Monetary policy shocks, financial constraints and firm-level equity return: panel evidence
title_full_unstemmed	Monetary policy shocks, financial constraints and firm-level equity return: panel evidence
title_sort	monetary policy shocks, financial constraints and firm-level equity return: panel evidence
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	2013
url	http://journalarticle.ukm.my/6984/ http://journalarticle.ukm.my/6984/ http://journalarticle.ukm.my/6984/1/4983-13951-1-PB.pdf
first_indexed	2023-09-18T19:48:26Z
last_indexed	2023-09-18T19:48:26Z
_version_	1777406057443753984

Monetary policy shocks, financial constraints and firm-level equity return: panel evidence

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