Stock prices and long-run demand for money in three selected ASEAN countries Indonesia, Malaysia, and Thailand

Earlier study on money demand has omitted the influence of stock prices in the domestic demand for money especially in ASEAN countries. This paper investigates the relationship between stock prices and the long-run money demand function in Indonesia,Malaysia and Thailand using the multivariate coin...

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Main Author: Tan, Chin Sin
Format: Thesis
Language:English
Published: 2003
Subjects:
Online Access:http://psasir.upm.edu.my/id/eprint/48915/7/FEP%202003%205R.pdf
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spelling my-upm-ir.489152016-11-16T02:04:53Z Stock prices and long-run demand for money in three selected ASEAN countries Indonesia, Malaysia, and Thailand 2003-04 Tan, Chin Sin Earlier study on money demand has omitted the influence of stock prices in the domestic demand for money especially in ASEAN countries. This paper investigates the relationship between stock prices and the long-run money demand function in Indonesia,Malaysia and Thailand using the multivariate cointegration and error correction model methodology. Results show that stock prices playa significant role in the determination of stationary long-run real M2 demand function in those countries. The direction and magnitude of the role of stock price depends upon the country and also the sampling period included. The results from the vector error correction model (VECM) provide evidence of causality between the real money stock and the determinants of the money demand (including real stock prices). Stocks - Prices - Southeast Asia Money supply - Southeast Asia Money - Southeast Asia 2003-04 Thesis http://psasir.upm.edu.my/id/eprint/48915/ http://psasir.upm.edu.my/id/eprint/48915/7/FEP%202003%205R.pdf application/pdf en public masters Universiti Putra Malaysia Stocks - Prices - Southeast Asia Money supply - Southeast Asia Money - Southeast Asia
institution Universiti Putra Malaysia
collection PSAS Institutional Repository
language English
topic Stocks - Prices - Southeast Asia
Money supply - Southeast Asia
Money - Southeast Asia
spellingShingle Stocks - Prices - Southeast Asia
Money supply - Southeast Asia
Money - Southeast Asia
Tan, Chin Sin
Stock prices and long-run demand for money in three selected ASEAN countries Indonesia, Malaysia, and Thailand
description Earlier study on money demand has omitted the influence of stock prices in the domestic demand for money especially in ASEAN countries. This paper investigates the relationship between stock prices and the long-run money demand function in Indonesia,Malaysia and Thailand using the multivariate cointegration and error correction model methodology. Results show that stock prices playa significant role in the determination of stationary long-run real M2 demand function in those countries. The direction and magnitude of the role of stock price depends upon the country and also the sampling period included. The results from the vector error correction model (VECM) provide evidence of causality between the real money stock and the determinants of the money demand (including real stock prices).
format Thesis
qualification_level Master's degree
author Tan, Chin Sin
author_facet Tan, Chin Sin
author_sort Tan, Chin Sin
title Stock prices and long-run demand for money in three selected ASEAN countries Indonesia, Malaysia, and Thailand
title_short Stock prices and long-run demand for money in three selected ASEAN countries Indonesia, Malaysia, and Thailand
title_full Stock prices and long-run demand for money in three selected ASEAN countries Indonesia, Malaysia, and Thailand
title_fullStr Stock prices and long-run demand for money in three selected ASEAN countries Indonesia, Malaysia, and Thailand
title_full_unstemmed Stock prices and long-run demand for money in three selected ASEAN countries Indonesia, Malaysia, and Thailand
title_sort stock prices and long-run demand for money in three selected asean countries indonesia, malaysia, and thailand
granting_institution Universiti Putra Malaysia
publishDate 2003
url http://psasir.upm.edu.my/id/eprint/48915/7/FEP%202003%205R.pdf
_version_ 1747812007517618176