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Money, Output and Stock Prices in Malaysia: An Application of the Cointegration Tests

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...

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Main Authors: Habibullah, Muzafar Shah, Ahmad Zubaidi, Baharumshah
Format: Article
Language:English
Published: 1996
Online Access:http://psasir.upm.edu.my/id/eprint/8827/1/Money.pdf
http://psasir.upm.edu.my/id/eprint/8827/
http://econ.snu.ac.kr/~kiea/IEJ/vol10_2/Su7.pdf
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spelling my.upm.eprints.88272016-07-22T03:42:44Z http://psasir.upm.edu.my/id/eprint/8827/ Money, Output and Stock Prices in Malaysia: An Application of the Cointegration Tests Habibullah, Muzafar Shah Ahmad Zubaidi, Baharumshah 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. 1996 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/8827/1/Money.pdf Habibullah, Muzafar Shah and Ahmad Zubaidi, Baharumshah (1996) Money, Output and Stock Prices in Malaysia: An Application of the Cointegration Tests. International Economic Journal, 10 (2). pp. 121-130. ISSN 1016-8737 http://econ.snu.ac.kr/~kiea/IEJ/vol10_2/Su7.pdf
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
description 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.
format Article
author Habibullah, Muzafar Shah
Ahmad Zubaidi, Baharumshah
spellingShingle Habibullah, Muzafar Shah
Ahmad Zubaidi, Baharumshah
Money, Output and Stock Prices in Malaysia: An Application of the Cointegration Tests
author_facet Habibullah, Muzafar Shah
Ahmad Zubaidi, Baharumshah
author_sort Habibullah, Muzafar Shah
title Money, Output and Stock Prices in Malaysia: An Application of the Cointegration Tests
title_short Money, Output and Stock Prices in Malaysia: An Application of the Cointegration Tests
title_full Money, Output and Stock Prices in Malaysia: An Application of the Cointegration Tests
title_fullStr Money, Output and Stock Prices in Malaysia: An Application of the Cointegration Tests
title_full_unstemmed Money, Output and Stock Prices in Malaysia: An Application of the Cointegration Tests
title_sort money, output and stock prices in malaysia: an application of the cointegration tests
publishDate 1996
url http://psasir.upm.edu.my/id/eprint/8827/1/Money.pdf
http://psasir.upm.edu.my/id/eprint/8827/
http://econ.snu.ac.kr/~kiea/IEJ/vol10_2/Su7.pdf
_version_ 1643824132337434624
score 13.160551

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