UUM Repository | Universiti Utara Malaysian Institutional Repository
FAQs | Feedback | Search Tips | Sitemap

An economic analysis of the relationship between stock returns and the anticipated and unanticipated money growth: the case of Malaysia


Mohamed, Azali and Habibullah, Muzafar Shah and Baharumshah, Ahmad Zubaidi (1999) An economic analysis of the relationship between stock returns and the anticipated and unanticipated money growth: the case of Malaysia. Analisis, 6 (1&2). pp. 15-25. ISSN 0127-8983

[img]
Preview
PDF
Download (902kB) | Preview
Official URL: http://ijms.uum.edu.my

Abstract

This paper investigates the relationship between stock returns and both the anticipated and unanticipated components of money supply growth using quarterly data for the period 1978:l-1997:4. The objective of the paper is to determine whether the components of both, narrow (MI) and broad (M2) money supply growth has been incorporated in the movements of stock returns. Using the Barro two-step procedure, our results suggest that the efficient market hypothesis for the KLSE cannot be rejected with respect to both narrow and broad money components.

Item Type: Article
Uncontrolled Keywords: money supply growth, stock returns, Malaysia
Subjects: H Social Sciences > HB Economic Theory
Divisions: UNSPECIFIED
Depositing User: Mrs. Norazmilah Yaakub
Date Deposited: 24 Aug 2010 04:38
Last Modified: 24 Aug 2010 04:38
URI: http://repo.uum.edu.my/id/eprint/786

Actions (login required)

View Item View Item