Stock prices and monetary policy : evidence from Malaysia case

Chin, Nyuk Fui (2011) Stock prices and monetary policy : evidence from Malaysia case. [Project Report] (Unpublished)

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Abstract

Studies to determine the relationship between stock prices and monetary policy have long been pursued, however as Tobin (1969), Blanchard (1981) and Shah (1984) mentioned, there are still no any empirical study illustrated the best on how the interaction between the monetary policy and stock market as well as little effort has been place in identify the relation of these variables for emerging market especially Malaysia compare to the advanced market. This study explores empirically the integration between Malaysian stock prices and monetary policy in post-crisis as well as linkage with other macroeconomic variables. The study uses the Autoregressive Distributed Lag Model (ARDL), Variance Decomposition (VDCs) and Impulse Response Function (IRFs). The study finds that the stock prices and monetary policy has a bidirectional relation in short-run and long-run as consistent with Bjornland and Leitemo (2008). Moreover, the macroeconomics variables display a cointegration with stock prices and monetary policy. Astonishingly, Malaysian stock prices also have significant interaction with the federal fund rate. To the certain extent the market is informational inefficient, these findings make obvious evidence that are contradictory with Efficient Market Hypothesis (EMH).

Item Type: Project Report
Additional Information: Project Report (B.Sc.) -- Universiti Malaysia Sarawak, 2011.
Uncontrolled Keywords: Stock price indexes, Stock price forecasting, Stocks--prices, monetary policy, macroeconomic variables, Universiti Malaysia Sarawak, UNIMAS, university, university, education, research, Sarawak, Malaysia, kuching, samarahan, borneo, undergraduate
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Karen Kornalius
Date Deposited: 05 Feb 2015 07:07
Last Modified: 06 May 2015 01:14
URI: http://ir.unimas.my/id/eprint/6436

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