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 |
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Universiti Utara Malaysia
1999
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| Online Access: | https://repo.uum.edu.my/id/eprint/518/1/Muzafar_Shah_Habibullah.pdf |
| _version_ | 1803624142094729216 |
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| author | Habibullah, Muzafar Shah Baharumshah, Ahmad Zubaidi |
| author_facet | Habibullah, Muzafar Shah Baharumshah, Ahmad Zubaidi |
| author_sort | Habibullah, Muzafar Shah |
| collection | UUM |
| 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 cointegration 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 | 2024-07-04T05:13:40Z |
| format | Article |
| id | uum-518 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T05:13:40Z |
| publishDate | 1999 |
| publisher | Universiti Utara Malaysia |
| record_format | dspace |
| spelling | uum-5182015-06-28T01:36:38Z https://repo.uum.edu.my/id/eprint/518/ Money supply, stock prices and the efficient market hypothesis: the case of Malaysia Habibullah, Muzafar Shah Baharumshah, Ahmad Zubaidi HG Finance 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 cointegration 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). Universiti Utara Malaysia 1999 Article PeerReviewed application/pdf en https://repo.uum.edu.my/id/eprint/518/1/Muzafar_Shah_Habibullah.pdf Habibullah, Muzafar Shah and Baharumshah, Ahmad Zubaidi (1999) Money supply, stock prices and the efficient market hypothesis: the case of Malaysia. Malaysian Management Journal, 3 (1). pp. 13-37. ISSN 0128-6226 http://mmj.uum.edu.my |
| spellingShingle | HG Finance Habibullah, Muzafar Shah Baharumshah, Ahmad Zubaidi Money supply, stock prices and the efficient market hypothesis: the case of Malaysia |
| 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 |
| topic | HG Finance |
| url | https://repo.uum.edu.my/id/eprint/518/1/Muzafar_Shah_Habibullah.pdf |
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