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Is money neutral in stock markets? the case of Malaysia.


Citation

Puah, Chin Hong and Habibullah, Muzafar Shah and Liew, Venus Khim Sen (2010) Is money neutral in stock markets? the case of Malaysia. Economics Bulletin, 30 (3). pp. 1852-1861. ISSN 1545-2921

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.


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Additional Metadata

Item Type: Article
Divisions: Faculty of Economics and Management
Publisher: Economics Bulletin
Keywords: Monetary neutrality; Stock market; Malaysia; ARIMA mode.
Depositing User: Emelda Mohd Hamid
Date Deposited: 06 Mar 2014 03:07
Last Modified: 29 Oct 2015 03:33
URI: http://psasir.upm.edu.my/id/eprint/15309
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