Stock prices and monetary policy : evidence from Malaysia case
Studies to determine the relationship between stock prices and monetary policy have long been pursued, however as Tobin (1969), Blanchard (1981) and Shah (1984) mentioned, there are still no any empirical study illustrated the best on how the interaction between the monetary policy and stock mark...
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| Format: | Final Year Project Report / IMRAD |
| Language: | English |
| Published: |
Universiti Malaysia Sarawak, (UNIMAS)
2011
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/6436/ http://ir.unimas.my/id/eprint/6436/11/Chin%20Nyuk%20Fui%20ft.pdf |
| _version_ | 1848835917364592640 |
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| author | Chin, Nyuk Fui |
| author_facet | Chin, Nyuk Fui |
| author_sort | Chin, Nyuk Fui |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | Studies to determine the relationship between stock prices and monetary policy have long
been pursued, however as Tobin (1969), Blanchard (1981) and Shah (1984) mentioned, there
are still no any empirical study illustrated the best on how the interaction between the
monetary policy and stock market as well as little effort has been place in identify the
relation of these variables for emerging market especially Malaysia compare to the advanced
market. This study explores empirically the integration between Malaysian stock prices and
monetary policy in post-crisis as well as linkage with other macroeconomic variables. The
study uses the Autoregressive Distributed Lag Model (ARDL), Variance Decomposition
(VDCs) and Impulse Response Function (IRFs). The study finds that the stock prices and
monetary policy has a bidirectional relation in short-run and long-run as consistent with
Bjornland and Leitemo (2008). Moreover, the macroeconomics variables display a
cointegration with stock prices and monetary policy. Astonishingly, Malaysian stock prices
also have significant interaction with the federal fund rate. To the certain extent the market is
informational inefficient, these findings make obvious evidence that are contradictory with
Efficient Market Hypothesis (EMH). |
| first_indexed | 2025-11-15T06:15:29Z |
| format | Final Year Project Report / IMRAD |
| id | unimas-6436 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T06:15:29Z |
| publishDate | 2011 |
| publisher | Universiti Malaysia Sarawak, (UNIMAS) |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-64362023-02-06T06:54:30Z http://ir.unimas.my/id/eprint/6436/ Stock prices and monetary policy : evidence from Malaysia case Chin, Nyuk Fui HB Economic Theory HG Finance Studies to determine the relationship between stock prices and monetary policy have long been pursued, however as Tobin (1969), Blanchard (1981) and Shah (1984) mentioned, there are still no any empirical study illustrated the best on how the interaction between the monetary policy and stock market as well as little effort has been place in identify the relation of these variables for emerging market especially Malaysia compare to the advanced market. This study explores empirically the integration between Malaysian stock prices and monetary policy in post-crisis as well as linkage with other macroeconomic variables. The study uses the Autoregressive Distributed Lag Model (ARDL), Variance Decomposition (VDCs) and Impulse Response Function (IRFs). The study finds that the stock prices and monetary policy has a bidirectional relation in short-run and long-run as consistent with Bjornland and Leitemo (2008). Moreover, the macroeconomics variables display a cointegration with stock prices and monetary policy. Astonishingly, Malaysian stock prices also have significant interaction with the federal fund rate. To the certain extent the market is informational inefficient, these findings make obvious evidence that are contradictory with Efficient Market Hypothesis (EMH). Universiti Malaysia Sarawak, (UNIMAS) 2011 Final Year Project Report / IMRAD NonPeerReviewed text en http://ir.unimas.my/id/eprint/6436/11/Chin%20Nyuk%20Fui%20ft.pdf Chin, Nyuk Fui (2011) Stock prices and monetary policy : evidence from Malaysia case. [Final Year Project Report / IMRAD] (Unpublished) |
| spellingShingle | HB Economic Theory HG Finance Chin, Nyuk Fui Stock prices and monetary policy : evidence from Malaysia case |
| title | Stock prices and monetary policy : evidence from Malaysia case |
| title_full | Stock prices and monetary policy : evidence from Malaysia case |
| title_fullStr | Stock prices and monetary policy : evidence from Malaysia case |
| title_full_unstemmed | Stock prices and monetary policy : evidence from Malaysia case |
| title_short | Stock prices and monetary policy : evidence from Malaysia case |
| title_sort | stock prices and monetary policy : evidence from malaysia case |
| topic | HB Economic Theory HG Finance |
| url | http://ir.unimas.my/id/eprint/6436/ http://ir.unimas.my/id/eprint/6436/11/Chin%20Nyuk%20Fui%20ft.pdf |