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The Relationship between Broad Money and Stock Prices in Malaysia: An Error Correction Model Approach

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  • Habibullah, Muzafar

    (Department of Economics Universiti Putra Malaysia 43400 UPM Serdang Selangor Darul Ehsan Malaysia)

Abstract

The purpose of this study is to investigate the empirical relationship between money supply and stock prices in the Kuala Lumpur Stock Exchange (KLSE), using montly data that span from January 1984 to September 1992. Specifically, we test for market informational efficiency in KLSE by testing the causal relationships between money supply, M3 and stock prices using the cointegration technique. Results from our Error Correction models suggest that the informational efficiency markets hypothesis can be rejected for the KLSE.

Suggested Citation

  • Habibullah, Muzafar, 1998. "The Relationship between Broad Money and Stock Prices in Malaysia: An Error Correction Model Approach," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 32, pages 51-73.
    • Handle: RePEc:ukm:jlekon:v:32:y:1998:i::p:51-73
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    References listed on IDEAS

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