Monetary Policy, Firm Size And Equity Returns In An Emerging Market: Panel Evidence Of Malaysia
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 1990–2008 using firm-level data. Using an augmented Fama-French (1992, 1996) multifactor model, emp...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Asian Academy of Management (AAM)
2015
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| Subjects: | |
| Online Access: | http://eprints.usm.my/37898/1/aamjaf110215_02.pdf http://eprints.usm.my/37898/ http://web.usm.my/journal/aamjaf/11-2-2-2015.html |
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| Institution: | Universiti Sains Malaysia |
| Language: | English |
| Summary: | 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 1990–2008 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. |
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