Is Money Neutral In Stock Market? The Case of Malaysia
The 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.
|Date of creation:||2009|
|Date of revision:||2010|
|Publication status:||Published in Economics Bulletin 3.30(2010): pp. 1852-1861|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Serletis, A & Moustas, Z, 1997.
"International Evidence on the Neutrality of Money,"
9704, Calgary - Department of Economics.
- Rahmi Yamak & Yakup Kucukkale, 2002. "Anticipated Money Growth and Stock Prices in Turkey," Macroeconomics 0211010, EconWPA.
- Lawrence S. Davidson & Richard T. Froyen, 1982. "Monetary policy and stock returns: are stock markets efficient?," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 3-12.
- Boschen, John F & Otrok, Christopher M, 1994. "Long-Run Neutrality and Superneutrality in an ARIMA Framework: Comment," American Economic Review, American Economic Association, vol. 84(5), pages 1470-73, December.
- Wongbangpo, Praphan & Sharma, Subhash C., 2002. "Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries," Journal of Asian Economics, Elsevier, vol. 13(1), pages 27-51.
- Dimitrios Malliaropulos, 1995. "Testing long-run neutrality of money: evidence from the UK," Applied Economics Letters, Taylor & Francis Journals, vol. 2(10), pages 347-350.
- Puah, Chin-Hong & Habibullah, Muzafar Shah & Lim, Kian-Ping, 2006.
"Testing long-run neutrality of money: evidence from Malaysian stock market,"
37676, University Library of Munich, Germany.
- Chin-Hong Puah, & Muzafar Shah Habibullah & Kian-Ping Lim, 2006. "Testing Long-Run Neutrality Of Money: Evidence From Malaysian Stock Market," The IUP Journal of Applied Economics, IUP Publications, vol. 0(4), pages 15-37, July.
- Koustas, Z., Serletis, A., 1998.
"On the Fisher Effect,"
98-09, Calgary - Department of Economics.
- Kwon, Chung S. & Shin, Tai S., 1999. "Cointegration and causality between macroeconomic variables and stock market returns," Global Finance Journal, Elsevier, vol. 10(1), pages 71-81.
- Sara Alatiqi & Shokoofeh Fazel, . "Can Money Supply Predict Stock Prices?," Journal for Economic Educators, Middle Tennessee State University, Business and Economic Research Center.
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991.
"Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?,"
Cowles Foundation Discussion Papers
979, Cowles Foundation for Research in Economics, Yale University.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
- Tom Doan, . "KPSS: RATS procedure to perform KPSS (Kwiatowski, Phillips, Schmidt, and Shin) stationarity test," Statistical Software Components RTS00100, Boston College Department of Economics.
- McGee, Robert T & Stasiak, Richard T, 1985. "Does Anticipated Monetary Policy Matter? Another Look," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 17(1), pages 16-27, February.
- Fisher, Mark E & Seater, John J, 1993. "Long-Run Neutrality and Superneutrality in an ARIMA Framework," American Economic Review, American Economic Association, vol. 83(3), pages 402-15, June.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:24017. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.