Macroeconomic Variables, Firm Characteristics and Stock Returns during Good and Bad Times: Evidence from SEA

Abstract

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.