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Title: |
Money, Output and Stock Prices in Malaysia: An
Application of the Cointegration Tests |
| Author: |
Habibullah,
Muzafar Shah; Baharumshah, Ahmad Zubaidi |
| Author
Affiliation: |
U Pertanian
Malaysia |
| Source: |
International Economic Journal, Summer 1996, v. 10, no. 2, pp. 121-130 |
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Publication Date: |
Summer 1996 |
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Abstract: |
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. |
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