Stock prices and long-run demand for money in three selected ASEAN countries : Indonesia, Malaysia, and Thailand
Earlier study on money demand has omitted the influence of stock prices in the domestic demand for money especially in ASEAN countries. This paper investigates the relationship between stock prices and the long-run money demand function in Indonesia, Malaysia and Thailand using the multivariate c...
| Main Author: | |
|---|---|
| Format: | Project Paper Report |
| Language: | English |
| Published: |
2003
|
| Subjects: | |
| Online Access: | http://psasir.upm.edu.my/id/eprint/91886/ http://psasir.upm.edu.my/id/eprint/91886/1/FEP%202003%205%20-%20IR.pdf |
| _version_ | 1848861481607626752 |
|---|---|
| author | Tan, Chin Sin |
| author_facet | Tan, Chin Sin |
| author_sort | Tan, Chin Sin |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | Earlier study on money demand has omitted the influence of stock prices in the
domestic demand for money especially in ASEAN countries. This paper investigates the
relationship between stock prices and the long-run money demand function in Indonesia,
Malaysia and Thailand using the multivariate cointegration and error correction model
methodology. Results show that stock prices playa significant role in the determination
of stationary long-run real M2 demand function in those countries. The direction and
magnitude of the role of stock price depends upon the country and also the sampling
period included. The results from the vector error correction model (VECM) provide
evidence of causality between the real money stock and the determinants of the money
demand (including real stock prices). |
| first_indexed | 2025-11-15T13:01:49Z |
| format | Project Paper Report |
| id | upm-91886 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T13:01:49Z |
| publishDate | 2003 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-918862022-02-09T00:57:52Z http://psasir.upm.edu.my/id/eprint/91886/ Stock prices and long-run demand for money in three selected ASEAN countries : Indonesia, Malaysia, and Thailand Tan, Chin Sin Earlier study on money demand has omitted the influence of stock prices in the domestic demand for money especially in ASEAN countries. This paper investigates the relationship between stock prices and the long-run money demand function in Indonesia, Malaysia and Thailand using the multivariate cointegration and error correction model methodology. Results show that stock prices playa significant role in the determination of stationary long-run real M2 demand function in those countries. The direction and magnitude of the role of stock price depends upon the country and also the sampling period included. The results from the vector error correction model (VECM) provide evidence of causality between the real money stock and the determinants of the money demand (including real stock prices). 2003-04 Project Paper Report NonPeerReviewed text en http://psasir.upm.edu.my/id/eprint/91886/1/FEP%202003%205%20-%20IR.pdf Tan, Chin Sin (2003) Stock prices and long-run demand for money in three selected ASEAN countries : Indonesia, Malaysia, and Thailand. [Project Paper Report] Stocks - Prices - Southeast Asia Money supply - Southeast Asia Money - Southeast Asia |
| spellingShingle | Stocks - Prices - Southeast Asia Money supply - Southeast Asia Money - Southeast Asia Tan, Chin Sin Stock prices and long-run demand for money in three selected ASEAN countries : Indonesia, Malaysia, and Thailand |
| title | Stock prices and long-run demand for money in three selected ASEAN countries : Indonesia, Malaysia, and Thailand |
| title_full | Stock prices and long-run demand for money in three selected ASEAN countries : Indonesia, Malaysia, and Thailand |
| title_fullStr | Stock prices and long-run demand for money in three selected ASEAN countries : Indonesia, Malaysia, and Thailand |
| title_full_unstemmed | Stock prices and long-run demand for money in three selected ASEAN countries : Indonesia, Malaysia, and Thailand |
| title_short | Stock prices and long-run demand for money in three selected ASEAN countries : Indonesia, Malaysia, and Thailand |
| title_sort | stock prices and long-run demand for money in three selected asean countries : indonesia, malaysia, and thailand |
| topic | Stocks - Prices - Southeast Asia Money supply - Southeast Asia Money - Southeast Asia |
| url | http://psasir.upm.edu.my/id/eprint/91886/ http://psasir.upm.edu.my/id/eprint/91886/1/FEP%202003%205%20-%20IR.pdf |