Social media platform becomes popular and the numbers of users on social media have increased rapidly. Hence, social media marketing seems to be effective tools to engage with the customers. Millennial spend most of the time on social media and they have higher purchasing power. Companies are still uncertain the right social media platform that can be used for social media marketing activities to shape Millennia’s brand perception and their purchase intention. The objective of the study is to investigate the millennial response towards social media marketing on brand and purchase intention. This study used Hierarchy of effects theory to examine the sequence of step in buying behavior of Millennial. This study is qualitative in nature and interview was conducted to 12 Millennia’s response towards 3 top social media platforms in Malaysia i.e. YouTube, Facebook and Instagram.  Framework analysis approach was used to analyze the responses of Millennial regarding social media marketing activities on social media platform. The results indicated that YouTube marketing activities affects the brand awareness and improves brand image among millennial cohort. Result further showed that Instagram marketing activities enhances millennial willingness to buy the products if there are good reviews, testimonials and retailers engage with them is spontaneous. Surprisingly, Facebook marketing does not improve brand awareness. This study extends the understanding of Hierarchy effects of theory by showing that Millennial do not go through sequence of steps in their buying behavior. The study implies companies to use the integrated strategic approach for the use of social network platforms in social media marketing activities that are user-generated content. Future research should look into other geographic region with different demographic variables to analyse if similar affective and behaviour response are present.