Monetary Shocks or Real Shocks, Which matters the most for Share Prices

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.

Abstract

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
• Language: English
• Keywords: Share Prices, Real Shocks, Monetary Shocks, Unit Root Test, Granger Causality Test
• Subjects: O - Economic Development, Innovation, 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

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