Is money neutral in stock market? The case of Malaysia
AbstractThe objective of this study is to examine whether the notion of monetary neutrality holds in Malaysian stock market. Our findings indicate that there is considerable evidence against the long-run neutrality (LRN) of money in Malaysian stock market. The important implication is that the stock market is inefficient with respect to money supply. Agents might have the opportunity to gain excess profit from the stock market using the information on changes in the stock of money to predict the movements in stock indexes.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 30 (2010)
Issue (Month): 3 ()
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Monetary neutrality; stock market; Malaysia; ARIMA model;
Other versions of this item:
- Chin-Hong, Puah & Muzafar Shah, Habibullah & Venus Khim-Sen, Liew, 2009. "Is Money Neutral In Stock Market? The Case of Malaysia," MPRA Paper 24017, University Library of Munich, Germany, revised 2010.
- E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
- G1 - Financial Economics - - General Financial Markets
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