Money Supply and the Informational Efficiency of the Stock Market in Korea: Evidence from an Alternative Methodology

Abdulnasser Hatemi-J

Journal of Economic Integration, 2002, vol. 17, 517-526

Abstract:

This article tests for informational efficiency of the Korean stock market with respect to the money supply. By applying the bootstrap simulation techniques, the results show that the stock market is informationally efficient regarding monetary policy performed during the period 1978-2000. The sensitivity of the results is checked for by utilizing the generalized impulse response functions and the generalized variance decompositions. The estimated results show that money supply does exert any significant effect on neither the first moment nor the second moment of the stock prices. This is interpreted as further empirical evidence for the efficient market hypothesis. The policy implication of the results is explained.

Keywords: Stock Market Efficiency; Money Supply; Bootstrap Simulation Technique; Rao Multivariate F-test; Korea (search for similar items in EconPapers)
JEL-codes: C32 E17 (search for similar items in EconPapers)
Date: 2002
References: Add references at CitEc
Citations: View citations in EconPapers (5)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ris:integr:0206

Access Statistics for this article

Journal of Economic Integration is currently edited by Seongeun Kim

More articles in Journal of Economic Integration from Center for Economic Integration, Sejong University Contact information at EDIRC.
Bibliographic data for series maintained by Yunhoe Kim ().