Is Money Neutral In Stock Market? The Case of Malaysia
AbstractThe objective of this study is to examine whether the notion of monetary neutrality hold in Malaysian stock market. Our findings indicate that there is considerable evidence against the long-run neutrality (LRN) of money in Malaysia’s 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 indices.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 24017.
Date of creation: 2009
Date of revision: 2010
Publication status: Published in Economics Bulletin 3.30(2010): pp. 1852-1861
monetary neutrality; stock market; Malaysia; ARIMA model;
Other versions of this item:
- Chin-Hong Puah & Muzafar Shah Habibullah & Venus Khim-Sen Liew, 2010. "Is money neutral in stock market? The case of Malaysia," Economics Bulletin, AccessEcon, vol. 30(3), pages 1852-1861.
- E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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