Divisia Monetary Aggregates and Stock Prices in Malaysia: An Empirical Note
DOI:
https://doi.org/10.66674/3g3rb187Abstract
The purpose of the present study is to investigate the empirical relationship between money supply inthe Kuala Lumpur Stock Exchange (KLSE) using quarterly data that span st quarter 1994. Specifically, in this study we tes for market informational efficiency in KLSE, the existence of a long-run relationship between money supply and stock prices using ‘monetary aggregates namely, the Simple-Sum and Divisia monies. Results from our ion models suggest that money supply and KLSE Composite stock price series are thus implying that the market informational efficiency hypothesis can be rejected for respect to the growth of money supply, in particular to Simple-sum M1 and M2, Divisia M1
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Copyright (c) 1997 Muzafar Shah Habibullah, Ahmad Zubaidi Baharumshah (Author)
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Authors retain copyright and grant Capital Markets Review the right of first publication. Articles are published under the Creative Commons Attribution 4.0 International (CC BY 4.0) licence: https://creativecommons.org/licenses/by/4.0/. This licence permits sharing and adaptation for any purpose, including commercial use, provided appropriate credit is given, a link to the licence is supplied and any changes are indicated. Third-party material excluded from the article's licence must be clearly identified, and authors are responsible for obtaining any required permission.
