Monetary Policy, Firm Size and Equity Returns in An Emerging Market: Panel Evidence of Malaysia
Zulkefly Abdul Karim and
Mohd Azlan Shah Zaidi
Asian Academy of Management Journal of Accounting and Finance (AAMJAF), 2015, vol. 11, issue 2, 29-55
The present study provides new empirical evidence on the effects of monetary policy shocks (domestic and international monetary policy) on equity returns in an emerging economy (i.e., Malaysia) for 1990â€“2008 using firm-level data. Using an augmented Fama-French (1992, 1996) multifactor model, empirical results based on system GMM estimations and a sample of 449 firms shows that firms' stock returns responded negatively to monetary policy shocks. Moreover, the effect of domestic monetary policy shocks also have differential effects, with a statistically significant impact on small firms' equity returns but not on large firms' stock returns. The effect of international monetary policy upon equity returns is also heterogeneous by firm size; significant effects were observed for the equity returns of large firms but not for a case of small firms.
Keywords: monetary policy shocks; firm's stock return; dynamic panel data; augmented Fama-French multifactor model (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:usm:journl:aamjaf01102_29-55
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