Chin-Hong, Puah and Muzafar Shah, Habibullah and Venus Khim-Sen, Liew (2009): Is Money Neutral In Stock Market? The Case of Malaysia. Published in: Economics Bulletin , Vol. 30, No. 3 (19. July 2010): pp. 1852-1861.
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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.
|Item Type:||MPRA Paper|
|Original Title:||Is Money Neutral In Stock Market? The Case of Malaysia|
|Keywords:||monetary neutrality; stock market; Malaysia; ARIMA model|
|Subjects:||E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E50 - General
C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C30 - General
G - Financial Economics > G1 - General Financial Markets > G10 - General
|Depositing User:||Venus Khim-Sen Liew|
|Date Deposited:||21. Jul 2010 06:08|
|Last Modified:||14. Feb 2013 01:32|
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