Template-Type: ReDIF-Article 1.0
Author-Name: Zulkefly Abdul Karim
Author-Workplace-Name: School of Economics, Faculty of Economics and Management Universiti Kebangsaan Malaysia 43600 Bangi, Selangor, Malaysia
Author-Name: Mohd Azlan Shah Zaidi
Author-Workplace-Name: School of Economics, Faculty of Economics and Management Universiti Kebangsaan Malaysia 43600 Bangi, Selangor, Malaysia
Author-Email: zak1972@ukm.edu.my 
Title: Monetary Policy, Firm Size and Equity Returns in An Emerging Market: Panel Evidence of Malaysia
Abstract: 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.
Classification-JEL:
Keywords: monetary policy shocks, firm's stock return, dynamic panel data, augmented Fama-French multifactor model 
Journal: Asian Academy of Management Journal of Accounting and Finance
Pages: 29-55
Volume: 11
Issue: 2
Year: 2015
File-URL:http://web.usm.my/journal/aamjaf/vol%2011-2-2015/aamjaf110215_02.pdf
File-Format: Application/pdf
Handle: RePEc:usm:journl:aamjaf01102_29-55