Money Supply, Stock Prices and the Efficient Market Hypothesis: The Case of Malaysia
The purpose of the present study is to investigate the empirical relationships between money supply and stock prices in the Kuala Lumpur Stock Exchange (KLSE) using monthly data that span from January 1978 to September 1992. More specifically, we tested market informational efficiency in the KLSE by...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
UUM Press
2020-01-01
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| Series: | Malaysian Management Journal |
| Online Access: | https://www.scienceopen.com/document?vid=96f5c636-527d-4dab-a126-b75a088e89a0 |
| _version_ | 1797896809099558912 |
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| author | Muzafar Shah Habibullah Ahmad Zubaidi Baharumshah |
| author_facet | Muzafar Shah Habibullah Ahmad Zubaidi Baharumshah |
| author_sort | Muzafar Shah Habibullah |
| collection | DOAJ |
| description | The purpose of the present study is to investigate the empirical relationships between money supply and stock prices in the Kuala Lumpur Stock Exchange (KLSE) using monthly data that span from January 1978 to September 1992. More specifically, we tested market informational efficiency in the KLSE by testing the causal relationships between money supply and stock prices using the co-integration technique. In the analysis, we used alternative monetary aggregates namely, the Simple-Sum and Divisia monies. Results from- our error-correction model suggest that market informational efficiency hypothesis can be rejected for KLSE with respect to the growth of money supply (for both Simple-sum and Divisia monetary aggregates). |
| first_indexed | 2024-04-10T07:48:42Z |
| format | Article |
| id | doaj.art-52693e99a0cb49e1bdb97f91026c44ec |
| institution | Directory Open Access Journal |
| issn | 0128-6226 2289-6651 |
| language | English |
| last_indexed | 2024-04-10T07:48:42Z |
| publishDate | 2020-01-01 |
| publisher | UUM Press |
| record_format | Article |
| series | Malaysian Management Journal |
| spelling | doaj.art-52693e99a0cb49e1bdb97f91026c44ec2023-02-23T10:22:18ZengUUM PressMalaysian Management Journal0128-62262289-66512020-01-0110.32890/mmj.3.1.1999.8555Money Supply, Stock Prices and the Efficient Market Hypothesis: The Case of MalaysiaMuzafar Shah HabibullahAhmad Zubaidi BaharumshahThe purpose of the present study is to investigate the empirical relationships between money supply and stock prices in the Kuala Lumpur Stock Exchange (KLSE) using monthly data that span from January 1978 to September 1992. More specifically, we tested market informational efficiency in the KLSE by testing the causal relationships between money supply and stock prices using the co-integration technique. In the analysis, we used alternative monetary aggregates namely, the Simple-Sum and Divisia monies. Results from- our error-correction model suggest that market informational efficiency hypothesis can be rejected for KLSE with respect to the growth of money supply (for both Simple-sum and Divisia monetary aggregates). https://www.scienceopen.com/document?vid=96f5c636-527d-4dab-a126-b75a088e89a0 |
| spellingShingle | Muzafar Shah Habibullah Ahmad Zubaidi Baharumshah Money Supply, Stock Prices and the Efficient Market Hypothesis: The Case of Malaysia Malaysian Management Journal |
| title | Money Supply, Stock Prices and the Efficient Market Hypothesis: The Case of Malaysia |
| title_full | Money Supply, Stock Prices and the Efficient Market Hypothesis: The Case of Malaysia |
| title_fullStr | Money Supply, Stock Prices and the Efficient Market Hypothesis: The Case of Malaysia |
| title_full_unstemmed | Money Supply, Stock Prices and the Efficient Market Hypothesis: The Case of Malaysia |
| title_short | Money Supply, Stock Prices and the Efficient Market Hypothesis: The Case of Malaysia |
| title_sort | money supply stock prices and the efficient market hypothesis the case of malaysia |
| url | https://www.scienceopen.com/document?vid=96f5c636-527d-4dab-a126-b75a088e89a0 |
| work_keys_str_mv | AT muzafarshahhabibullah moneysupplystockpricesandtheefficientmarkethypothesisthecaseofmalaysia AT ahmadzubaidibaharumshah moneysupplystockpricesandtheefficientmarkethypothesisthecaseofmalaysia |