Monetary Expansion and Stock Returns in Pakistan

Fazal Husain () and Tariq Mahmood

MPRA Paper from University Library of Munich, Germany

Abstract: The objective of the paper is to examine the causal relationship between money supply and stock prices in Pakistan. Two measures of money stocks (M1 and M2) and six stock price indices (general and five sectors) were taken for the period June 1991 to June 1999. The co-integration analysis indicates a long run relationship between stock prices and money supply for both M1 and M2. The Error Correction Model, on the other hand, does not endorse the long run relationship between stock prices and M1. Regarding long run relationship between stock prices and M2, the model suggests a unidirectional causality running from M2 to stock prices. The model also shows the evidence of short run effects of M2 on stock prices. The analysis suggests that the stock market is not efficient with respect to money supply.

Keywords: : Money; Stock Prices; Pakistan; Long Run Relationship; Market Efficiency (search for similar items in EconPapers)
JEL-codes: E5 G14 (search for similar items in EconPapers)
Date: 1999
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Published in The Pakistan Development Review 4.38(1999): pp. 769-776

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/5020/1/MPRA_paper_5020.pdf original version (application/pdf)

Related works:
Journal Article: Monetary Expansion and Stock Returns in Pakistan (1999)
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:pra:mprapa:5020

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().