Is Money Neutral In Stock Market? The Case of Malaysia

Chin-Hong Puah, Muzafar Shah Habibullah and Venus Liew

MPRA Paper from University Library of Munich, Germany

Abstract: The objective of this study is to examine whether the notion of monetary neutrality hold in Malaysian stock market. Our findings indicate that there is considerable evidence against the long-run neutrality (LRN) of money in Malaysia’s 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 indices.

Keywords: monetary neutrality; stock market; Malaysia; ARIMA model (search for similar items in EconPapers)
JEL-codes: C30 E50 G10 (search for similar items in EconPapers)
Date: 2009, Revised 2010
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Citations: View citations in EconPapers (5)

Published in Economics Bulletin 3.30(2010): pp. 1852-1861

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