scholarly journals Capital Market And The Transmission Channel Of The Monetary Policy: An Empirical Evidence On The Money View

2010 ◽  
Vol 9 (9) ◽  
Author(s):  
Caroline Geetha
Keyword(s):  
Money Supply ◽  
Stock Prices ◽  
Stock Exchange ◽  
Monetary Transmission ◽  
Kuala Lumpur ◽  
Monthly Bulletin ◽  
Monthly Data ◽  
Long Run ◽  
Short Run ◽  
The Relationship

The aim of this study is to find the relationship between the monetary transmission channels with the stock prices.  The study utilizes the monthly data from 1990 to 2001 obtained from the Kuala Lumpur Stock Exchange Report and the monthly bulletin of the Central Bank of Malaysia.  The result revealed that all the variables are non-stationary at the level form and stationary at the first difference.  The Johansen Cointegration revealed that a long-run relationship does exist for the unanticipated changes in money supply, unlike the anticipated changes in money supply that only established a short-run relationship with stock prices.  This is due to the level of monetization that is unable to eliminate the excess in the money market in the long run. 

scholarly journals Money Supply and Stock Prices – A Case Study of Nigeria

2021 ◽  
Vol 04 (10) ◽  
Author(s):  
Dr. Ogbonna Udochukwu Godfrey ◽  
Keyword(s):  
Money Supply ◽  
Stock Prices ◽  
Stock Exchange ◽  
Market Price ◽  
Unit Root Test ◽  
Causality Test ◽  
Long Run ◽  
Augmented Dickey Fuller ◽  
Short Run ◽  
The Relationship

This study examined the relationship between money supply and stock prices, using E-view version 10. The empirical results of the Augmented Dickey Fuller (ADF) unit root test at 5 percent critical levels indicates that all the variables (M2 and MCAP) were not stationary at levels. However, all the variables became stationary after first differencing. Hence, the variables are of the same order of integration I (1). A cointegration test tells us that there exists a long run relationship between or among the variables and that they will not wander far apart away even though on the short run they exhibit random walk behavior. The Vector Error Correction test shows that Money supply (M2) has a significant relationship with market capitalization of the Nigerian stock exchange. The value of the Adjusted R-Squared of 0.726710 implies that Money supply (M2) explained about 72.67% systematic variations in the dependent variable (MCAP) over the observed years while the remaining 27.33% variations are explained by other determining variables outside the model. In order to further establish the relationship between money supply and stock market price, a granger causality test was carried out and it was established that there is a bi-directional causality between money supply and stock prices. The researcher therefore recommends that there should be collaboration among agencies of government in charge of money supply and stock exchange in order to make sure that sound policies are made to achieve the objective of government. Furthermore, that there should be a deliberate and concerted policy and effort to improve the Nigerian stock exchange market in line with other stock exchanges of the world, since stock prices cause money supply and vice versa.

scholarly journals Money Supply, Stock Prices and the Efficient Market Hypothesis: The Case of Malaysia

2020 ◽  
Author(s):  
Muzafar Shah Habibullah ◽  
Ahmad Zubaidi BAHARUMSHAH
Keyword(s):  
Money Supply ◽  
Stock Prices ◽  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
Informational Efficiency ◽  
Kuala Lumpur ◽  
Empirical Relationships ◽  
Correction Model ◽  
Monthly Data ◽  
Monetary Aggregates

The purpose of the present study is to investigate the empirical relationships between money supply and stock prices in the Kuala Lumpur Stock Exchange (KLSE) using monthly data that span from January 1978 to September 1992. More specifically, we tested market informational efficiency in the KLSE by testing the causal relationships between money supply and stock prices using the co-integration technique. In the analysis, we used alternative monetary aggregates namely, the Simple-Sum and Divisia monies. Results from- our error-correction model suggest that market informational efficiency hypothesis can be rejected for KLSE with respect to the growth of money supply (for both Simple-sum and Divisia monetary aggregates).  

scholarly journals Correspondence between Monetary Policies and Stock Prices

2020 ◽  
Vol 9 (4) ◽  
pp. 2809-2811
Keyword(s):  
Money Supply ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Return ◽  
Vital Role ◽  
Monetary Policies ◽  
Monthly Data ◽  
Repo Rate ◽  
The Relationship

Money supply in an economy plays a vital role in determining the prices of stocks. This study uses repo rate and reverse repo rate as a proxy for money supply and the stock return from CNX Nifty as the dependant variable. This study uses monthly data for 10 years. The study is aimed at determining the relationship between repo rate, reverse repo rate and stock price return. The study identifies that repo rate and reverse repo rate are significantly affecting he stock return.

scholarly journals The Impact of Macroeconomic Variables on Stock Prices in Kuwait

2019 ◽  
Vol 14 (6) ◽  
pp. 99 ◽  
Author(s):  
Ahmad M. Al-Kandari ◽  
Sadeq J. Abul
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Oil Prices ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Dynamic Relationship ◽  
Long Run ◽  
Short Run ◽  
Johansen Cointegration Test ◽  
The Impact

The Kuwaiti Stock Exchange was established in April 1977 and is among the oldest stock exchanges in the GCC countries. This study aims to add new evidence about the impact of macroeconomic factors on the Kuwaiti Stock Exchange. It examines empirically the dynamic relationship between the Kuwaiti Stock Exchange Index and the main macroeconomic variables. These variables included M2, the three-month deposit interest rate, oil prices, the US Dollar vs Kuwaiti Dinar exchange rate and the inflation rate. By applying the Johansen cointegration test, together with the Var Error Correction Model (VECM), the study found that there a long-run unidirectional relationship exists between the Kuwaiti Stock Exchange Index and the aforementioned macroeconomic variables. This study also confirmed the existence of a short-run relationship between oil prices and stock prices in Kuwait.

scholarly journals Money Supply, Inflation and Economic Growth: Co-Integration and Causality Analysis

2020 ◽  
Vol 65 (2) ◽  
pp. 29-45
Author(s):  
Ayad Hicham
Keyword(s):  
Economic Growth ◽  
Money Supply ◽  
Structural Breaks ◽  
Inflation Rate ◽  
Causality Analysis ◽  
Causality Test ◽  
Long Run ◽  
Short Run ◽  
The Relationship ◽  
Natural Series

AbstractThe aim of this paper is to examine the relationship between money supply, inflation rate, and economic growth in the context of Algeria, using various econometric procedures as co-integration without and with structural breaks in addition to three different ways of causality test for the period 1970-2018, the results confirm the long-run relationship between the variables with more than three structural breaks, but with the absence of the effects of money supply and inflation rate on economic growth both in short run and long run terms, on the other hand, the causality results confirmed the existence of hidden causalities among the variables running from the cumulative components not from the natural series, and all the results support the Monetarist view of inflation though the absence of any effect of money supply on economic growth.

scholarly journals Determinants of Household Debt in Botswana: 1994-2012

2015 ◽  
Vol 1 (1) ◽  
pp. 14 ◽  
Author(s):  
Faith M. Zimunya ◽  
Mpho Raboloko
Keyword(s):  
Interest Rates ◽  
Money Supply ◽  
Gdp Per Capita ◽  
Household Debt ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Short Run ◽  
Per Capita ◽  
The Relationship

<p><em>The paper identifies the factors that are influential in determining the growth of household debt in Botswana. Understanding the relationship between household debt and other economic indicators is an important step towards formulating focused and effective policies that control the effects of household debt on the whole economy. Using quarterly data from the first quarter of 1994 to the second quarter of 2012,</em><em> </em><em>the paper employs the Vector Error Correction Model (VECM) to analyse the influence of </em><em>G</em><em>ross </em><em>D</em><em>omestic </em><em>P</em><em>roduct (GDP) per capita, interest rates, inflation, household consumption and money supply on household debt. The findings indicate that GDP per capita, interest rates and money supply determine changes in household debt in the long-run. Further analysis shows that lagged household debt, interest rates and money supply influence changes in household debt in the short-run.</em></p><p><em><br /></em></p>

scholarly journals Relationship between Islamic Stock Prices and Macroeconomic Variables: Evidence from Jakarta Stock Exchange Islamic Index

2015 ◽  
Vol 1 (1) ◽  
pp. 071 ◽  
Author(s):  
Muhammad Rizky Prima Sakti ◽  
MD. Yousuf Harun
Keyword(s):  
Stock Prices ◽  
Inflation Rate ◽  
Stock Exchange ◽  
Policy Instruments ◽  
Impulse Response Functions ◽  
Macroeconomic Factors ◽  
Monthly Data ◽  
Macroeconomic Variables ◽  
Variance Decompositions ◽  
The Relationship

This paper attempts to analyze the relationship between Jakarta Stock Exchange Islamic Index (JII) and selected macroeconomic variables namely exchange rate, industrial production, inflation rate, and money supply. We used monthly data from January 2000 toDecember 2010.The methodology used in this paper is time series techniques of co-integration and vector autoregression (VAR). In the analysis, we rely on variance decompositions and impulse-response functions to capture the strength of interactions among variables. The results revealed that there is co-integration between Islamic stock prices and macroeconomic variables. Specifically, Indonesian Islamic stock market are driven more by domestic factors. These macroeconomic factors considered to be emphasized as the policy instruments by the governments in order to stabilize Islamic stock prices.

scholarly journals Capabilities of Statistical Residual-Based Control Charts in Short- and Long-Term Stock Trading

2016 ◽  
Vol 62 (1) ◽  
pp. 12-26 ◽  
Author(s):  
Berislav Žmuk
Keyword(s):  
Control Chart ◽  
Stock Prices ◽  
Control Charts ◽  
Stock Exchange ◽  
Moving Average ◽  
Stock Trading ◽  
Cusum Control Chart ◽  
Long Run ◽  
Short Run ◽  
Exponential Weighted Moving Average

Abstract The aim of this paper is to introduce and develop additional statistical tools to support the decision-making process in stock trading. The prices of CROBEX10 index stocks on the Zagreb Stock Exchange were used in the paper. The conducted trading simulations, based on the residual-based control charts, led to an investor’s profit in 67.92% cases. In the short run, the residual-based cumulative sum (CUSUM) control chart led to the highest portfolio profits. In the long run, when average stock prices were used and 2-sigma control limits set, the residual-based exponential weighted moving average control chart had the highest portfolio profit. In all other cases in the long run, the CUSUM control chart appeared to be the best choice. The acknowledgment that the SPC methods can be successfully used in stock trading will, hopefully, increase their use in this field.

scholarly journals The Relationship between Money Supply, Price Level and Economic Growth In Pakistan: Keynesian versus Monetarist View

2018 ◽  
Vol 11 (2) ◽  
pp. 49-64
Author(s):  
Abdul Mansoor ◽  
Quratulain Shoukat ◽  
Shagufta Bibi ◽  
Khushbakht Iqbal ◽  
Romana Saeed ◽  
...  
Keyword(s):  
Economic Growth ◽  
Money Supply ◽  
Price Level ◽  
Economic Policies ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
The Relationship ◽  
Supply Price

AbstractThe objective of the study is to examine the relationship between money supply, price level and economic growth in the context of Pakistan by using Autoregressive Distributed Lag (ARDL) model, covered a period of 1980 to 2016. The results confirm the long-run relationship between the variables while using broad money supply as a response variable. However, in the price and income modeling, the variables do not support the cointegration relationship between the variables. The causality results confirmed the unidirectional relationship running from income to money supply, which implies that income do causes money supply in the short run, whereas money supply leads to inflation to support Monetarist view of inflation in a country. The results conclude that economic growth is imperative to stabilize money supply and price level through sound economic policies in a country.

scholarly journals The Relationship between Macro-Economic Variables and Stock Exchange Prices: A Case Study in Dhaka Stock Exchange (DSE) in Bangladesh

2019 ◽  
Vol 3 (3) ◽  
pp. 122-130 ◽  
Author(s):  
Md. M. Rahman
Keyword(s):  
Exchange Rate ◽  
Causal Relationship ◽  
Money Supply ◽  
Industrial Production ◽  
Stock Prices ◽  
Trade Balance ◽  
Stock Exchange ◽  
Stock Exchanges ◽  
Macroeconomic Indicators ◽  
The Relationship

Macroeconomic indicators, such as money supply, inflation, exchange rate, trade balance, indicators of industrial production, are the basis for assessing the processes of growth and development of the country. Peculiarities of functioning of the exchange market also play an important role in the analysis of the country’s development. Disclosure of the main purpose of the study involves the study of the relationship between macroeconomic indicators and stock prices on the Dhaka stock exchange (DSE) in Bangladesh. Methodological support of the work includes statistical methods (Granger causality test and Dickie fuller test), which allow to determine the causal relationship between macroeconomic indicators and prices on the stock exchange of Bangladesh. Empirical estimates of the study showed the absence of a causal relationship between macroeconomic indicators (money supply, industrial production index, exchange rate, inflation and trade balance) and stock prices in the form of a General index of all shares on the DAX stock exchange. The obtained results indicate that the macroeconomic evaluation cannot be used to predict prices on the stock exchanges in Bangladesh. The study postulates that the results of exchange activity also do not reflect the peculiarities of macroeconomic movement in the country. The author substantiates recommendations for regulatory authorities in terms of the formation of a set of measures to ensure the claim correlation of macroeconomic indicators of the country’s development with prices on the stock market. It is stated that the results of the study will allow the government to take active measures to: overcome in the future the pressure of international trade, adjust the appropriate monitoring and fiscal policy, reduce any possible negative impact on the country’s economy in the context of its further development. Keywords: macroeconomic variables, money supply, exchange rate, inflation, prices on stock exchanges, Dhaka stock exchange, Bangladesh.

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