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)