Monetary policy, economic activity and the stock market: an empirical analysis of the Kuala Lumpur Stock Exchange
This study attempts to answer the question whether the Kuala Lumpur Stock Exchange (KLSE) is informationally efficient with respect to both money and output. The Information Efficient Market (IEM) hypothesis is tested using the Johansen-Juselius multivariate cointegration approach. Stock prices are...
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Penerbit Universiti Kebangsaan Malaysia
1998
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my-ukm.journal.79792016-12-14T06:45:49Z http://journalarticle.ukm.my/7979/ Monetary policy, economic activity and the stock market: an empirical analysis of the Kuala Lumpur Stock Exchange Muzafar Shah Habibullah, Ahmad Zubaidi Baharumshah, Tan, Hui Boon This study attempts to answer the question whether the Kuala Lumpur Stock Exchange (KLSE) is informationally efficient with respect to both money and output. The Information Efficient Market (IEM) hypothesis is tested using the Johansen-Juselius multivariate cointegration approach. Stock prices are proxied by the Composite, Industrial, Finance, Property, Plantation and Tin indices. The measures of money supply used include the narrowly defined MI and broadly defined M2. Output is proxied by the real Gross Domestic Product (CDP). The empirical results suggest that the stock market is informationally inefficient with respect to M2 and output. Penerbit Universiti Kebangsaan Malaysia 1998 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/7979/1/1483-2785-1-SM.pdf Muzafar Shah Habibullah, and Ahmad Zubaidi Baharumshah, and Tan, Hui Boon (1998) Monetary policy, economic activity and the stock market: an empirical analysis of the Kuala Lumpur Stock Exchange. Jurnal Pengurusan, 17 . pp. 41-53. ISSN 0127-2713 http://ejournals.ukm.my/pengurusan/issue/view/207 |
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This study attempts to answer the question whether the Kuala Lumpur Stock Exchange (KLSE) is informationally efficient with respect to both money and output. The Information Efficient Market (IEM) hypothesis is tested using the Johansen-Juselius multivariate cointegration approach. Stock prices are proxied by the Composite, Industrial, Finance, Property, Plantation and Tin indices. The measures of money supply used include the narrowly defined MI and broadly defined M2. Output is proxied by the real Gross Domestic Product (CDP). The empirical results suggest that the stock market is informationally inefficient with respect to M2 and output. |
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Article |
author |
Muzafar Shah Habibullah, Ahmad Zubaidi Baharumshah, Tan, Hui Boon |
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Muzafar Shah Habibullah, Ahmad Zubaidi Baharumshah, Tan, Hui Boon Monetary policy, economic activity and the stock market: an empirical analysis of the Kuala Lumpur Stock Exchange |
author_facet |
Muzafar Shah Habibullah, Ahmad Zubaidi Baharumshah, Tan, Hui Boon |
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Muzafar Shah Habibullah, |
title |
Monetary policy, economic activity and the stock market: an empirical analysis of the Kuala Lumpur Stock Exchange |
title_short |
Monetary policy, economic activity and the stock market: an empirical analysis of the Kuala Lumpur Stock Exchange |
title_full |
Monetary policy, economic activity and the stock market: an empirical analysis of the Kuala Lumpur Stock Exchange |
title_fullStr |
Monetary policy, economic activity and the stock market: an empirical analysis of the Kuala Lumpur Stock Exchange |
title_full_unstemmed |
Monetary policy, economic activity and the stock market: an empirical analysis of the Kuala Lumpur Stock Exchange |
title_sort |
monetary policy, economic activity and the stock market: an empirical analysis of the kuala lumpur stock exchange |
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Penerbit Universiti Kebangsaan Malaysia |
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1998 |
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http://journalarticle.ukm.my/7979/1/1483-2785-1-SM.pdf http://journalarticle.ukm.my/7979/ http://ejournals.ukm.my/pengurusan/issue/view/207 |
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