Macroeconomic Variables, Firm Characteristics and Stock Returns during Good and Bad Times: Evidence from SEA
This paper investigates the role of macroeconomic factors and firm characteristics in explaining stock return in big four South East Asian (SEA) countries, namely, Malaysia, Indonesia, Singapore and Thailand. The factors model is employed for two time intervals, namely, sub-period A (from July 2003 to June 2007) and sub-period B (from July 2007 to June 2011) to examine the change in relationship between macroeconomic variables and stock returns during pre and post Global Financial Crisis of 2007. Our empirical findings reveal that the significance relationship between macroeconomic variables and portfolio stock returns were not consistent for both sub-periods. The result is highly dependent on portfolio, country and sub-period.
Submission of an article implies that the work described has not been published previously (except in the form of an abstract or as part of a published lecture or academic thesis), that it is not under consideration for publication elsewhere, that its publication is approved by all authors and tacitly or explicitly by the responsible authorities where the work was carried out, and that, if accepted, will not be published elsewhere in the same form, in English or in any other language, without the written consent of the Publisher. The Editors reserve the right to edit or otherwise alter all contributions, but authors will receive proofs for approval before publication.
Copyrights for articles published in MTI journals are retained by the authors, with first publication rights granted to the journal. The journal/publisher is not responsible for subsequent uses of the work. It is the author's responsibility to bring an infringement action if so desired by the author.