Monetary Policy and the Price Behavior in Emerging Stock Markets:
This paper examines whether the six largest and most active emerging stock markets are informationally efficient with respect to changes in the money supply. To investigate if stock prices fully reflect the information contained in money supply changes, two different econometric techniques are emplo...
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Washington, D.C
International Monetary Fund
1991
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Schriftenreihe: | IMF Working Papers
Working Paper No. 91/27 |
Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 URL des Erstveröffentlichers |
Zusammenfassung: | This paper examines whether the six largest and most active emerging stock markets are informationally efficient with respect to changes in the money supply. To investigate if stock prices fully reflect the information contained in money supply changes, two different econometric techniques are employed. First, direct Granger-causality tests are used, which locus on the short-run relationship between stock prices and money. Second, the long-run behavior of the two variables is studied by means of co-integration tests. The results suggest that at least for two markets profitable trading rules can be developed to earn consistently higher-than-normal rates of return |
Beschreibung: | 1 Online-Ressource (32 p) |
ISBN: | 1451844425 9781451844429 |
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spelling | Cornelius, Peter Verfasser aut Monetary Policy and the Price Behavior in Emerging Stock Markets Cornelius, Peter Washington, D.C International Monetary Fund 1991 1 Online-Ressource (32 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 91/27 This paper examines whether the six largest and most active emerging stock markets are informationally efficient with respect to changes in the money supply. To investigate if stock prices fully reflect the information contained in money supply changes, two different econometric techniques are employed. First, direct Granger-causality tests are used, which locus on the short-run relationship between stock prices and money. Second, the long-run behavior of the two variables is studied by means of co-integration tests. The results suggest that at least for two markets profitable trading rules can be developed to earn consistently higher-than-normal rates of return Online-Ausg http://elibrary.imf.org/view/IMF001/04695-9781451844429/04695-9781451844429/04695-9781451844429.xml Verlag URL des Erstveröffentlichers Volltext |
spellingShingle | Cornelius, Peter Monetary Policy and the Price Behavior in Emerging Stock Markets |
title | Monetary Policy and the Price Behavior in Emerging Stock Markets |
title_auth | Monetary Policy and the Price Behavior in Emerging Stock Markets |
title_exact_search | Monetary Policy and the Price Behavior in Emerging Stock Markets |
title_exact_search_txtP | Monetary Policy and the Price Behavior in Emerging Stock Markets |
title_full | Monetary Policy and the Price Behavior in Emerging Stock Markets Cornelius, Peter |
title_fullStr | Monetary Policy and the Price Behavior in Emerging Stock Markets Cornelius, Peter |
title_full_unstemmed | Monetary Policy and the Price Behavior in Emerging Stock Markets Cornelius, Peter |
title_short | Monetary Policy and the Price Behavior in Emerging Stock Markets |
title_sort | monetary policy and the price behavior in emerging stock markets |
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