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Money Supply and the Informational Efficiency of the Stock Market in Korea: Evidence from an Alternative Methodology

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  • Hatemi-J, Abdulnasser

    ()
    (University of Skövde)

Abstract

This article tests for informational efficiency of the Korean stock market with respect to the money supply. By applying the bootstrap simulation techniques, the results show that the stock market is informationally efficient regarding monetary policy performed during the period 1978-2000. The sensitivity of the results is checked for by utilizing the generalized impulse response functions and the generalized variance decompositions. The estimated results show that money supply does exert any significant effect on neither the first moment nor the second moment of the stock prices. This is interpreted as further empirical evidence for the efficient market hypothesis. The policy implication of the results is explained.

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Bibliographic Info

Article provided by Center for Economic Integration, Sejong University in its journal Journal of Economic Integration.

Volume (Year): 17 (2002)
Issue (Month): ()
Pages: 517-526

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Handle: RePEc:ris:integr:0206

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Web page: http://econo.sejong.ac.kr/
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Related research

Keywords: Stock Market Efficiency; Money Supply; Bootstrap Simulation Technique; Rao Multivariate F-test; Korea;

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Cited by:
  1. Theophano Patra & Sunil Poshakwale, 2006. "Economic variables and stock market returns: evidence from the Athens stock exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 16(13), pages 993-1005.
  2. Al Janabi, Mazin A.M. & Hatemi-J, Abdulnasser & Irandoust, Manuchehr, 2010. "An empirical investigation of the informational efficiency of the GCC equity markets: Evidence from bootstrap simulation," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 47-54, January.
  3. Hatemi-J, Abdulnasser & Roca, Eduardo, 2006. "A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods," Economic Modelling, Elsevier, vol. 23(6), pages 993-1007, December.

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