Subhani, Muhammad Imtiaz and Osman, Ms. Amber (2011): Monetary Shocks or Real Shocks, Which matters the most for Share Prices. Published in: Information Management and Business Review , Vol. 2, No. 6 (2011): pp. 246-251.
Download (458kB) | Preview
This study examines that out of monetary shocks (ΔM2) and real shocks in share prices (ΔYt-k), which one or both really explain share prices of Karachi stock exchange 100 index. The time series econometrics is used to investigate the data for the monthly period of January 1991 to January 2011 for money supply (M2) and share prices of KSE 100 index. The results of unit root test reveal that there is a real shock in share prices and it explains the share price of KSE 100 index temporarily, while Vector auto regression revealed that Share prices of KSE 100 index is meagerly explained by the monetary shocks.
|Item Type:||MPRA Paper|
|Original Title:||Monetary Shocks or Real Shocks, Which matters the most for Share Prices|
|English Title:||Monetary Shocks or Real Shocks, Which matters the most for Share Prices|
|Keywords:||Share Prices, Real Shocks, Monetary Shocks, Unit Root Test, Granger Causality Test|
|Subjects:||O - Economic Development, Technological Change, and Growth > O1 - Economic Development > O16 - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
A - General Economics and Teaching > A1 - General Economics > A11 - Role of Economics; Role of Economists; Market for Economists
|Depositing User:||Muhammad Imtiaz Subhani|
|Date Deposited:||15. Nov 2011 16:08|
|Last Modified:||11. Feb 2013 12:19|
Alatiqi, S. & Fazal, S. (2008). Can Money Supply predict Stock Prices? Journal for Economic Educators, 8(2), 54-59.
Dhakal, D. & Kandil, E. M. (1993). The Inflationary Experiences of Six Developing Countries in Asia: An Investigation of Underlying Determinants. Applied Economics, 25(3), 413-425.
Dhakal, D., Kandil, E. M. & Sharma, S. (1993). Causality between money supply and share prices: A VAR investigation. Quarterly Journal of Business and Economics, 32(3), 52-74.
Fama, E.,F. (1981). Stock Returns, Real Activity, Inflation and Money. American Economic Review, 71(4): 545-565. \
Fama, E., F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance, 25 (2), 383-417.
Hashemzadeh, N. & Taylor, P. (1988). Stock Prices, Money Supply and Interest Rates: The Question of Causality, Applied Economics, 20(12), 1603-1611.
Homa, K,, E. & Jaffe, D., M. (1971). The Supply of Money and Common Stock Prices. The Journal of Finance, 26(5), 1045-1066.
Kraft, J. & Kraft, A. (1977). Determinants of Common Stock Prices: A Time Series Analysis. The Journal of Finance, 32(2), 417-425.
Mookerjee, R. (1987). Monetary Policy and the Informational Efficiency of the Stock Market: the Evidence from Many Countries. Applied Economics, 19, 1521-1532.
Pearce, D., K. & Roley, V., V. (1985). Stock Prices and Economic News. Journal of Business, 58(1), 49-67.
Sprinkel, B., W. (1964). Money and Markets: A Monetarist View. Homewood, Illinois: Richard Irwin, Inc.
Subhani, M. I. & Osman, A. (2010). Stock Market Reactions due to the announcements of Consumer Price Index and the Investigations of Endogeneity. Interdisciplinary Journal of Contemporary Research in Business, 3(1), 878-884.