Monetary Shocks or Real Shocks, Which matters the most for Share Prices

Muhammad Imtiaz Subhani and Amber Osman

MPRA Paper from University Library of Munich, Germany

Abstract: This study examines that out of monetary shocks (ΔM2) and real shocks in share prices (ΔYt-k), which one or both really explain share prices of Karachi stock exchange 100 index. The time series econometrics is used to investigate the data for the monthly period of January 1991 to January 2011 for money supply (M2) and share prices of KSE 100 index. The results of unit root test reveal that there is a real shock in share prices and it explains the share price of KSE 100 index temporarily, while Vector auto regression revealed that Share prices of KSE 100 index is meagerly explained by the monetary shocks.

Keywords: Share Prices; Real Shocks; Monetary Shocks; Unit Root Test; Granger Causality Test (search for similar items in EconPapers)
JEL-codes: A11 O16 (search for similar items in EconPapers)
Date: 2011, Revised 2011
New Economics Papers: this item is included in nep-mac and nep-mon
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Citations: View citations in EconPapers (2)

Published in Information Management and Business Review 6.2(2011): pp. 246-251

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Journal Article: Monetary Shocks or Real Shocks, Which matters the most for Share Prices (2011)
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