Testing long-run neutrality of money: evidence from Malaysian stock market

• Main Authors: Puah, Chin-Hong, Muzafar Shah, Habibullah, Lim, Kian−Ping
• Format: Working Paper
• Language: English
• Published: Universiti Malaysia Sarawak, (UNIMAS) 2006
• Subjects: AC Collections. Series. Collected works; H Social Sciences (General); HG Finance
• Online Access: http://ir.unimas.my/id/eprint/3245/7/Testing.pdf; http://ir.unimas.my/id/eprint/3245/
• Institution: Universiti Malaysia Sarawak

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...