Monetary Policy, Economic Activity and the Stock Market: An Empirical Analysis of the Kuala Lumpur Stock Exchange

Department of Economics
Faculty of Economics and Management
Universiti Putra Malaysia
43400 UPM Serdang, Malaysia


Department of Economics
Faculty of Economics and Management
Universiti Putra Malaysia
43400 UPM Serdang, Malaysia


Department of Economics
Faculty of Economics and Management
Universiti Putra Malaysia
43400 UPM Serdang, Malaysia


Abstract

This study attempts to answer the question whether the Kirala Lumpur Stock Exchange (K1,SE) is itzformationally efficient with respect to both money and output. The Information Efficient Market ([EM) hypothesis is tested using the Johansen-Juselius multivariate cointegration approach. Stock prices are proxied by the Composite, Industrial, Finance, Property, Platztation and Tit1 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 (GDP). The empirical results suggest that the stock market is informationally inefficient with respect to M2 and output.

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Citation

Habibullah, M. S., Baharumshah, A. Z., & Tan, H. B. (1998). Monetary Policy, Economic Activity and the Stock Market: An Empirical Analysis of the Kuala Lumpur Stock Exchange. Jurnal Pengurusan, 17, 41–53.

@article{habibullah1998monetary,
  title={Monetary Policy, Economic Activity and the Stock Market: An Empirical Analysis of the Kuala Lumpur Stock Exchange},
  author={Habibullah, Muzafar Shah and Baharumshah, Ahmad Zubaidi and Tan, Hui Boon},
  journal={Jurnal Pengurusan},
 

volume={17},
  number={},
  pages={41—53},
  year={1998},
  doi={},
  publisher={Penerbit UKM},
}

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17 (1998) 41 – 53

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