{
  "title": "Monetary Policy and the Price Behavior in Emerging Stock Markets",
  "publication": "IMF Working Papers, March 1, 1991",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2016/12/30/monetary-policy-and-the-price-behavior-in-emerging-stock-markets-904",
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  "summary": "This paper examines whether the six largest and most active emerging stock markets are informationally efficient with respect to changes in the money supply.",
  "sections": [
    {
      "heading": "Objective",
      "content": "- Examine whether the six largest and most active emerging stock markets are informationally efficient with respect to changes in the money supply.\n- Investigate whether stock prices fully reflect the information contained in money supply changes."
    },
    {
      "heading": "Methodology",
      "content": "- Two econometric techniques employed:\n  - Direct Granger-causality tests to focus on the short-run relationship between stock prices and money.\n  - Co-integration tests to study the long-run behavior of stock prices and money supply."
    },
    {
      "heading": "Main findings",
      "content": "- The results suggest that at least for two markets profitable trading rules can be developed to earn consistently higher-than-normal rates of return.\n- Implied conclusion: informational inefficiencies with respect to money supply changes exist in some of the six largest and most active emerging stock markets."
    },
    {
      "heading": "Analytical implications",
      "content": "- Short-run dynamics between money supply changes and stock prices assessed via Granger-causality tests provide evidence on the timing and direction of information flow.\n- Long-run co-integration analysis assesses whether stock prices and money supply share a stable equilibrium relationship over time, bearing on persistent predictability.\n\n---\n\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/30/monetary-policy-and-the-price-behavior-in-emerging-stock-markets-904"
    }
  ],
  "bullets": [
    "[Markdown version](/en/publications/wp/issues/2016/12/30/monetary-policy-and-the-price-behavior-in-emerging-stock-markets-904/index.md)",
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    "Authors: Peter Cornelius",
    "Published: March 1, 1991",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781451844429.001",
    "Examine whether the six largest and most active emerging stock markets are informationally efficient with respect to changes in the money supply.",
    "Investigate whether stock prices fully reflect the information contained in money supply changes.",
    "Two econometric techniques employed:",
    "The results suggest that at least for two markets profitable trading rules can be developed to earn consistently higher-than-normal rates of return.",
    "Implied conclusion: informational inefficiencies with respect to money supply changes exist in some of the six largest and most active emerging stock markets.",
    "Short-run dynamics between money supply changes and stock prices assessed via Granger-causality tests provide evidence on the timing and direction of information flow.",
    "Long-run co-integration analysis assesses whether stock prices and money supply share a stable equilibrium relationship over time, bearing on persistent predictability."
  ],
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  "generatedAtUtc": "2026-09-17T07:01:49.499Z"
}