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- Title
MONEY AND STOCK PRICES IN WEST GERMANY AND THE UNITED KINGDOM: IS THE STOCK MARKET EFFICIENT?
- Authors
Darrat, Ali F.
- Abstract
This paper empirically tests the implication of the stock market efficiency hypothesis that stock prices reflect all publicly available information, including news about monetary policy, for West Germany and the United Kingdom. Contrary to this hypothesis, a significant lagged relationship is found between stock returns and money growth in both countries. The empirical results also indicate the presence of significant lagged effects of unanticipated and anticipated money growth on current stock prices. Such results suggest that the stock markets in both countries appear to be inefficient, at least during the estimation period (1960:I to 1982:IV).
- Subjects
EUROPE; STOCK prices; MONEY market; MONETARY policy; STOCK exchanges
- Publication
Quarterly Journal of Business & Economics, 1987, Vol 26, Issue 1, p20
- ISSN
0747-5535
- Publication type
Article