Testing long-run neutrality of money: evidence from Malaysian stock market
This paper presents the empirical evidence on the long-run neutrality (LRN) of money in the stock market in Malaysia using seasonal adjusted monthly data from 1978:1 to 1999:12 based on the bivariate ARIMA framework developed by Fisher and Seater (1993). Besides the main stock index, the sectoral st...
| Main Authors: | , , |
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| Format: | Working Paper |
| Language: | English |
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Universiti Malaysia Sarawak, (UNIMAS)
2006
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| Online Access: | http://ir.unimas.my/id/eprint/3245/ http://ir.unimas.my/id/eprint/3245/7/Testing.pdf |
| _version_ | 1848835170157723648 |
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| author | Puah, Chin-Hong Muzafar Shah, Habibullah Lim, Kian−Ping |
| author_facet | Puah, Chin-Hong Muzafar Shah, Habibullah Lim, Kian−Ping |
| author_sort | Puah, Chin-Hong |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | This paper presents the empirical evidence on the long-run neutrality (LRN) of money in the stock market in Malaysia using seasonal adjusted monthly data from 1978:1 to 1999:12 based on the bivariate ARIMA framework developed by Fisher and Seater (1993). Besides the main stock index, the sectoral stocks indexes also have been tested by different measurements of money supply, namely M1, M2, and M3. Generally, the findings support the LRN of money in Malaysia’s stock market and the results are robust to the sensitivity tests of different monetary aggregates. This would imply that the permanent stochastic changes in money supply do not have influential effect towards the real stock returns in Malaysia. |
| first_indexed | 2025-11-15T06:03:36Z |
| format | Working Paper |
| id | unimas-3245 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T06:03:36Z |
| publishDate | 2006 |
| publisher | Universiti Malaysia Sarawak, (UNIMAS) |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-32452022-07-06T08:08:41Z http://ir.unimas.my/id/eprint/3245/ Testing long-run neutrality of money: evidence from Malaysian stock market Puah, Chin-Hong Muzafar Shah, Habibullah Lim, Kian−Ping AC Collections. Series. Collected works H Social Sciences (General) HG Finance This paper presents the empirical evidence on the long-run neutrality (LRN) of money in the stock market in Malaysia using seasonal adjusted monthly data from 1978:1 to 1999:12 based on the bivariate ARIMA framework developed by Fisher and Seater (1993). Besides the main stock index, the sectoral stocks indexes also have been tested by different measurements of money supply, namely M1, M2, and M3. Generally, the findings support the LRN of money in Malaysia’s stock market and the results are robust to the sensitivity tests of different monetary aggregates. This would imply that the permanent stochastic changes in money supply do not have influential effect towards the real stock returns in Malaysia. Universiti Malaysia Sarawak, (UNIMAS) 2006 Working Paper NonPeerReviewed text en http://ir.unimas.my/id/eprint/3245/7/Testing.pdf Puah, Chin-Hong and Muzafar Shah, Habibullah and Lim, Kian−Ping (2006) Testing long-run neutrality of money: evidence from Malaysian stock market. [Working Paper] |
| spellingShingle | AC Collections. Series. Collected works H Social Sciences (General) HG Finance Puah, Chin-Hong Muzafar Shah, Habibullah Lim, Kian−Ping Testing long-run neutrality of money: evidence from Malaysian stock market |
| title | Testing long-run neutrality of money: evidence from Malaysian stock market |
| title_full | Testing long-run neutrality of money: evidence from Malaysian stock market |
| title_fullStr | Testing long-run neutrality of money: evidence from Malaysian stock market |
| title_full_unstemmed | Testing long-run neutrality of money: evidence from Malaysian stock market |
| title_short | Testing long-run neutrality of money: evidence from Malaysian stock market |
| title_sort | testing long-run neutrality of money: evidence from malaysian stock market |
| topic | AC Collections. Series. Collected works H Social Sciences (General) HG Finance |
| url | http://ir.unimas.my/id/eprint/3245/ http://ir.unimas.my/id/eprint/3245/7/Testing.pdf |