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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| Format: | Article |
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Penerbit Universiti Kebangsaan Malaysia
2011
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| Online Access: | http://journalarticle.ukm.my/4736/ |
| _version_ | 1848810615252975616 |
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| author | Zulkefly Abdul Karim, Mohd.Azlan Shah Zaidi, Bakri Abdul Karim, |
| author_facet | Zulkefly Abdul Karim, Mohd.Azlan Shah Zaidi, Bakri Abdul Karim, |
| author_sort | Zulkefly Abdul Karim, |
| 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. |
| first_indexed | 2025-11-14T23:33:19Z |
| format | Article |
| id | oai:generic.eprints.org:4736 |
| institution | Universiti Kebangasaan Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T23:33:19Z |
| publishDate | 2011 |
| publisher | Penerbit Universiti Kebangsaan Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | oai:generic.eprints.org: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 |
| 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. |
| title | 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_short | 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. |
| url | http://journalarticle.ukm.my/4736/ http://journalarticle.ukm.my/4736/ |