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Money, Output and Stock Prices in Malaysia: An Application of the Cointegration Tests


Citation

Habibullah, Muzafar Shah and Ahmad Zubaidi, Baharumshah (1996) Money, Output and Stock Prices in Malaysia: An Application of the Cointegration Tests. International Economic Journal, 10 (2). pp. 121-130. ISSN 1016-8737

Abstract / Synopsis

The purpose of this paper is to determine whether macroeconomic variables, in particular money supply and output are important in predicting stock prices in Malaysia. Monthly data on stock price indices, money supply and output were employed in this study. The stock price indexes used in this study are Composite, Industrial, Finance, Property, Plantation and Tin. For money supply we used both M1 and M2, and output is measured by real Gross Domestic Product (GDP). Our results suggest that Malaysia’s stock market is informationally efficient with respect to money supply as well as output.


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Additional Metadata

Item Type: Article
Subject: Stocks - Prices
Subject: Money
Divisions: Faculty of Economics and Management
Depositing User: Erni Suraya Abdul Aziz
Date Deposited: 21 Dec 2010 09:43
Last Modified: 22 Jul 2016 11:42
URI: http://psasir.upm.edu.my/id/eprint/8827
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