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]
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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: | 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 H Social Sciences > H Social Sciences (General) H Social Sciences > HG Finance |
| Divisions: | Academic Faculties, Institutes and Centres > Faculty of Economics and Business Faculties, Institutes, Centres > Faculty of Economics and Business |
| Depositing User: | Karen Kornalius |
| Date Deposited: | 24 Jun 2014 03:47 |
| Last Modified: | 06 Jul 2022 08:08 |
| URI: | http://ir.unimas.my/id/eprint/3245 |
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