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Journal of Economic Integration 2002 September;17(3) :517-526.
DOI: https://doi.org/10.11130/jei.2002.17.3.517
Money Supply and the Informational Efficiency of the Stock Market in Korea: Evidence from an Alternative Methodology
Abdulnasser Hatemi-J 
University of Skövde
Copyright ©2002 Journal of Economic Integration
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. JEL Classifications (E17, C32)
Keywords: Stock Market Efficiency | Money Supply | Bootstrap Simulation Technique | Rao Multivariate F-test | Korea
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