Money, Output and Stock Prices in Malaysia: An Application of the Cointegration Tests

Habibullah, Muzafar Shah; Baharumshah, Ahmad Zubaidi

doi:10.1080/10168739600000023

Cited by 21 publications

(21 citation statements)

References 17 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…While the causal nexus between these variables in developed economies is well documented, only a few studies have been conducted for emerging markets such as Malaysia. A recent notable study for the Malaysian market is that of Habibullah and Baharumshah (1996a). Applying residual-based cointegration tests, they find no evidence for cointegration between various stock indices, money supply and output using monthly data that span from January 1978 to September 1992.…”

Section: Introductionmentioning

confidence: 99%

Macroeconomic Variables and Stock Prices in Malaysia: An Empirical Analysis

Ibrahim

1999

Asian Economic Journal

View full text Add to dashboard Cite

The article investigates the dynamic interactions between seven macroeconomic variables and the stock prices for an emerging market, Malaysia, using cointegration and Granger causality tests. The results strongly suggest informational inefficiency in the Malaysian market. The bivariate analysis suggests cointegration between the stock prices and three macroeconomic variables -consumer prices, credit aggregates and official reserves. From bivariate error-correction models, we note the reactions of the stock prices to deviations from the long run equilibrium. These results are further strengthened when we extend the analysis to multivariate settings. We also note some evidence that the stock prices are Granger-caused by changes in the official reserves and exchange rates in the short run.

show abstract

Section: Introductionmentioning

confidence: 99%

Macroeconomic Variables and Stock Prices in Malaysia: An Empirical Analysis

Ibrahim

1999

Asian Economic Journal

View full text Add to dashboard Cite

show abstract

“…However, an earlier study by Habibullah and Baharumshah (1996) In addition, using three types of exchange rates Ibrahim (2000) analyzed the interaction between stock prices and exchange rates in Malaysia. The paper used three exchange rates measures, real effective exchange rate, the nominal effective exchange rate, the RM/US$ rate along with money supply broadly defined (M2), official reserve and Kuala Lumpur Composite Index.…”

Section: Literature Reviewmentioning

confidence: 99%

Impact of the Monetary Policy Instruments on Islamic Stock Market Index Return

Albaity

2011

SSRN Journal

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in

show abstract

“…Garza-Garcia et al (2010) find that Shanghai Composite Index is a leading indicator for macroeconomic variables and the US stock index is related to the Chinese stock index performance. Habibullah and Baharumshah (1996) examine the relationship between the macroeconomic variables and the stock price in Malaysia. The study results showed that the growth of money supply and national output can be used as a trading rule to predict stock prices.…”

Section: Introductionmentioning

confidence: 99%

Relationship of Stock Price and Monetary Variables of Asian Small Open Emerging Economy: Evidence from Thailand

Boonyanam¹

2014

International Journal of Financial Research

View full text Add to dashboard Cite

Monetary variables contain information to forecast stock price is still controversial. This paper examines the relationship between stock price and monetary variables in Thailand which is an Asian small open emerging economy. Monetary variables are consumer price index, nominal bilateral exchange rate in term of bath per US dollar, narrow money, and 14 days repurchased rate, employing a multivariate cointegration, VECM, variance decomposition and impulse response analysis covering the period of January 1999 to December 2012 with 168 observations. The study found a long run relationship between monetary variables and stock price. There is no short run adjustment toward the long run equilibrium but narrow money and interest rate have significant short run effect on stock price. The bidirectional causality between stock price and inflation and between stock price and narrow money are found. A unidirectional causality is found from exchange rate to stock price and from interest rate to stock price. Variance decomposition indicates that narrow money and the interest rate contribute the highest in stock price while the variance in stock price give the highest contribution to exchange rate, narrow money and inflation respectively. The impulse response analysis indicates that the stock price responses intensively to narrow money and interest rate. The monetary variables response to the shock in stock price intensively after 2 months and all responses appear to divert away along the horizon which confirms the VECM result that there is no short-run adjustment towards the long run equilibrium. The relationship facilitates investor and policy maker in making effective investment decision as well as the efficient policy designation.

show abstract

Money, Output and Stock Prices in Malaysia: An Application of the Cointegration Tests

Cited by 21 publications

References 17 publications

Macroeconomic Variables and Stock Prices in Malaysia: An Empirical Analysis

Macroeconomic Variables and Stock Prices in Malaysia: An Empirical Analysis

Impact of the Monetary Policy Instruments on Islamic Stock Market Index Return

Relationship of Stock Price and Monetary Variables of Asian Small Open Emerging Economy: Evidence from Thailand

Contact Info

Product

Resources

About