MONEY, OUTPUT AND STOCK PRICES IN MALAYSIA: AN APPLICATION OF THE COINTEGRATION TESTS

Muzafar Shah Habibullah · Ahmad Zubaidi Baharumshah

61 citations0/0 files storedInternational Economic Journal

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Financial Markets and Investment Strategies Monetary Policy and Economic Impact Market Dynamics and Volatility

Abstract

The purpose of this paper is to determine whether macroeconomic variables, in particular money supply and output are important in predicting stock prices in Malaysia. Monthly data on stock price indices, money supply and output were employed in this study. The stock price indexes used in this study are Composite, Industrial, Finance, Property, Plantation and Tin. For money supply we used both M1 and M2, and output is measured by real Gross Domestic Product (GDP). Our results suggest that Malaysia’s stock market is informationally efficient with respect to money supply as well as output.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Testing for a Unit Root in Time Series Regression 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1970Efficient Capital Markets: A Review of Theory and Empirical Work 1986Economic Forces and the Stock Market 1982Trends and random walks in macroeconmic time series 1981Stock Returns, Real Activity, Inflation, and Money 2010Critical Values for Cointegration Tests

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