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The Effect of Unanticipated Changes in Money and Real Activity on Stock Prices

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Authors
Kwok, Raymond H. F.
Issue Date
1993
Publisher
Seoul Journal of Economics
Citation
Seoul Journal of Economics 6 (No. 4 1993): 351-360
Keywords
money supply equation; homa and jaffee; closed market
Abstract
This paper analyzes empirically the effect of unanticipated changes in money and changes in real activity on stock prices for the Asian Newly Industrialized Economies. The money supply equation is employed to estimate both anticipated and unanticipated components of money. Unlike the experience in the industrialized countries, the unanticipated money supply has an inconsistent impact on stock prices in these four Asian markets. Moreover, The results show that, except for South Korea. future real activity dominates money growth rate in explaining real stock returns.
ISSN
1225-0279
Language
English
URI
http://hdl.handle.net/10371/1027
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College of Social Sciences (사회과학대학)Institute of Economics Research (경제연구소)Seoul Journal of EconomicsSeoul Journal of Economics vol.06(4) (Winter 1993)
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