Testing long-run neutrality of money: evidence from Malaysian stock market

Puah, Chin-Hong and Muzafar Shah, Habibullah and Lim, Kian−Ping (2006) Testing long-run neutrality of money: evidence from Malaysian stock market. Working Paper. Universiti Malaysia Sarawak, (UNIMAS).

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Abstract

This paper presents the empirical evidence on the long-run neutrality (LRN) of money in the stock market in Malaysia using seasonal adjusted monthly data from 1978:1 to 1999:12 based on the bivariate ARIMA framework developed by Fisher and Seater (1993). Besides the main stock index, the sectoral stocks indexes also have been tested by different measurements of money supply, namely M1, M2, and M3. Generally, the findings support the LRN of money in Malaysia’s stock market and the results are robust to the sensitivity tests of different monetary aggregates. This would imply that the permanent stochastic changes in money supply do not have influential effect towards the real stock returns in Malaysia.

Item Type: Monograph (Working Paper)
Additional Information: Universiti Malaysia Sarawak, UNIMAS
Uncontrolled Keywords: UNIMAS, Stock Market, Neutrality of money, ARIMA model
Subjects: A General Works > AC Collections. Series. Collected works
A General Works > AC Collections. Series. Collected works

H Social Sciences > H Social Sciences (General)
H Social Sciences > HG Finance
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Karen Kornalius
Date Deposited: 24 Jun 2014 03:47
Last Modified: 14 Apr 2016 07:15
URI: http://ir.unimas.my/id/eprint/3245

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