This paper presents the empirical evidence on the long-run neutrality (LRN) of money in the stock market in Malaysia using seasonal adjusted monthly data from 1978:1 to 1999:12 based on the bivariate ARIMA framework developed by Fisher and Seater (1993). Besides the main stock index, the...

Motivated by the shortcomings of earlier Chinese efficiency studies, the present paper re-examines the weak-form efficiency of Shanghai and Shenzhen Stock Exchanges. Specifically, our adopted methodologies mitigate the confounding effect of thin trading on return autocorrelation, detect both...

This paper presents the empirical evidence on the long-run neutrality (LRN) of money in the stock market in Malaysia, using seasonal adjusted monthly data from 1978:1 to 1999:12 , based on the bivariate ARIMA framework developed by Fisher and Seater (1993). Besides the main stock index, the...