Is money neutral in stock market? The case of Malaysia

Chin-Hong Puah, Muzafar Shah Habibullah and Venus Liew

Economics Bulletin, 2010, vol. 30, issue 3, 1852-1861

Abstract: The objective of this study is to examine whether the notion of monetary neutrality holds in Malaysian stock market. Our findings indicate that there is considerable evidence against the long-run neutrality (LRN) of money in Malaysian stock market. The important implication is that the stock market is inefficient with respect to money supply. Agents might have the opportunity to gain excess profit from the stock market using the information on changes in the stock of money to predict the movements in stock indexes.

Keywords: Monetary neutrality; stock market; Malaysia; ARIMA model (search for similar items in EconPapers)
JEL-codes: E5 G1 (search for similar items in EconPapers)
Date: 2010-07-19
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Citations: View citations in EconPapers (5)

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