Monetary policy, economic activity and the stock market: an empirical analysis of the Kuala Lumpur Stock Exchange

This study attempts to answer the question whether the Kuala Lumpur Stock Exchange (KLSE) is informationally efficient with respect to both money and output. The Information Efficient Market (IEM) hypothesis is tested using the Johansen-Juselius multivariate cointegration approach. Stock prices are...

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Main Authors:	Muzafar Shah Habibullah, Ahmad Zubaidi Baharumshah, Tan, Hui Boon
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 1998
Online Access:	http://journalarticle.ukm.my/7979/ http://journalarticle.ukm.my/7979/ http://journalarticle.ukm.my/7979/1/1483-2785-1-SM.pdf

id	ukm-7979
recordtype	eprints
spelling	ukm-79792016-12-14T06:45:49Z http://journalarticle.ukm.my/7979/ Monetary policy, economic activity and the stock market: an empirical analysis of the Kuala Lumpur Stock Exchange Muzafar Shah Habibullah, Ahmad Zubaidi Baharumshah, Tan, Hui Boon This study attempts to answer the question whether the Kuala Lumpur Stock Exchange (KLSE) is informationally efficient with respect to both money and output. The Information Efficient Market (IEM) hypothesis is tested using the Johansen-Juselius multivariate cointegration approach. Stock prices are proxied by the Composite, Industrial, Finance, Property, Plantation and Tin indices. The measures of money supply used include the narrowly defined MI and broadly defined M2. Output is proxied by the real Gross Domestic Product (CDP). The empirical results suggest that the stock market is informationally inefficient with respect to M2 and output. Penerbit Universiti Kebangsaan Malaysia 1998 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/7979/1/1483-2785-1-SM.pdf Muzafar Shah Habibullah, and Ahmad Zubaidi Baharumshah, and Tan, Hui Boon (1998) Monetary policy, economic activity and the stock market: an empirical analysis of the Kuala Lumpur Stock Exchange. Jurnal Pengurusan, 17 . pp. 41-53. ISSN 0127-2713 http://ejournals.ukm.my/pengurusan/issue/view/207
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	This study attempts to answer the question whether the Kuala Lumpur Stock Exchange (KLSE) is informationally efficient with respect to both money and output. The Information Efficient Market (IEM) hypothesis is tested using the Johansen-Juselius multivariate cointegration approach. Stock prices are proxied by the Composite, Industrial, Finance, Property, Plantation and Tin indices. The measures of money supply used include the narrowly defined MI and broadly defined M2. Output is proxied by the real Gross Domestic Product (CDP). The empirical results suggest that the stock market is informationally inefficient with respect to M2 and output.
format	Article
author	Muzafar Shah Habibullah, Ahmad Zubaidi Baharumshah, Tan, Hui Boon
spellingShingle	Muzafar Shah Habibullah, Ahmad Zubaidi Baharumshah, Tan, Hui Boon Monetary policy, economic activity and the stock market: an empirical analysis of the Kuala Lumpur Stock Exchange
author_facet	Muzafar Shah Habibullah, Ahmad Zubaidi Baharumshah, Tan, Hui Boon
author_sort	Muzafar Shah Habibullah,
title	Monetary policy, economic activity and the stock market: an empirical analysis of the Kuala Lumpur Stock Exchange
title_short	Monetary policy, economic activity and the stock market: an empirical analysis of the Kuala Lumpur Stock Exchange
title_full	Monetary policy, economic activity and the stock market: an empirical analysis of the Kuala Lumpur Stock Exchange
title_fullStr	Monetary policy, economic activity and the stock market: an empirical analysis of the Kuala Lumpur Stock Exchange
title_full_unstemmed	Monetary policy, economic activity and the stock market: an empirical analysis of the Kuala Lumpur Stock Exchange
title_sort	monetary policy, economic activity and the stock market: an empirical analysis of the kuala lumpur stock exchange
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	1998
url	http://journalarticle.ukm.my/7979/ http://journalarticle.ukm.my/7979/ http://journalarticle.ukm.my/7979/1/1483-2785-1-SM.pdf
first_indexed	2023-09-18T19:51:09Z
last_indexed	2023-09-18T19:51:09Z
_version_	1777406227598278656

Monetary policy, economic activity and the stock market: an empirical analysis of the Kuala Lumpur Stock Exchange

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