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Impact of money supply on stock bubbles

Author

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  • Sirucek, Martin

Abstract

This article is focus on the effect and implications of changes in money supply in US on stock bubble rise on the US capital market, which is represented by the Dow Jones Industrial Average index. This market was chosen according to the market capitalization. The attention of paper is focused on problems, if according to the results of empirical analysis is the money supply significant factor which cause the bubbles and if during the time growth the significancy and impact of this macroeconomic factor on stock index.

Suggested Citation

  • Sirucek, Martin, 2013. "Impact of money supply on stock bubbles," MPRA Paper 51476, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:51476
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    File URL: https://mpra.ub.uni-muenchen.de/51476/2/MPRA_paper_51476.pdf
    File Function: original version
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    References listed on IDEAS

    as
    1. Nelson, Charles R, 1976. "Inflation and Rates of Return on Common Stocks," Journal of Finance, American Finance Association, vol. 31(2), pages 471-483, May.
    2. Stephen G. Cecchetti & Nelson C. Mark & Robert J. Sonora, 2002. "Price Index Convergence Among United States Cities," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 43(4), pages 1081-1099, November.
    3. Christos Ioannidis & Alexandros Kontonikas, 2006. "Monetary Policy and the Stock Market: Some International evidence," Working Papers 2006_12, Business School - Economics, University of Glasgow.
    4. Fama, Eugene F. & Schwert, G. William, 1977. "Asset returns and inflation," Journal of Financial Economics, Elsevier, vol. 5(2), pages 115-146, November.
    5. David O. Lucca & Emanuel Moench, 2015. "The Pre-FOMC Announcement Drift," Journal of Finance, American Finance Association, vol. 70(1), pages 329-371, February.
    6. Farrell, James L, Jr, 1974. "Analyzing Covariation of Returns to Determine Homogeneous Stock Groupings," The Journal of Business, University of Chicago Press, vol. 47(2), pages 186-207, April.
    7. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
    8. Benaković Dubravka & Posedel Petra, 2010. "Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market," Business Systems Research, De Gruyter Open, vol. 1(1-2), pages 39-46, January.
    9. Alan Greenspan, 2004. "Risk and Uncertainty in Monetary Policy," American Economic Review, American Economic Association, vol. 94(2), pages 33-40, May.
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    Citations

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    Cited by:

    1. Constantin ANGHELACHE & Madalina Gabriela ANGHEL & Cristina SACALA, 2016. "The Financial Sector Influence On Portfolio Dynamics," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 64(7), pages 9-13, July.

    More about this item

    Keywords

    money supply; stock market; stock bubbles; granger causality; Dickey-Fuller test;

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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