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Money supply and the informational efficiency of the stock market in Korea : Evidence from an alternative methodology

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  • Money supply and the informational efficiency of the stock market in Korea
  • Hatemi-J, Abdulnasser
  • Sejong University


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Title Money supply and the informational efficiency of the stock market in Korea
Similar Titles
Sub Title

Evidence from an alternative methodology

Material Type Reports
Author(English)

Hatemi-J, Abdulnasser

Publisher

[Seoul]:Sejong University

Date 2002-09
Journal Title; Vol./Issue Journal of Economic Integration:No. 17(No. 3)
Subject Country South Korea(Asia and Pacific)
Language English
File Type Link
Subject Economy < Economic Administration
Holding Sejong University

Abstract

This article tests for informational efficiency of the Korean stock market with respect to the money supply. By applying the bootstrap simulation techniques, the results show that the stock market is informationally efficient regarding monetary policy performed during the period 1978-2000. The sensitivity of the results is checked for by utilizing the generalized impulse response functions and the generalized variance decompositions. The estimated results show that money supply does exert any significant effect on neither the first moment nor the second moment of the stock prices. This is interpreted as further empirical evidence for the efficient market hypothesis. The policy implication of the results is explained.