TAILIEUCHUNG - Stock Prices, Foreign Opportunity Cost, and Mon- ey Demand in Malaysia: A Cointegration and Error Correction Model Approach

In Portugal, the fisheries contribution to the GDP is less than percent. However, with regard to food, the annual consumption value of 60 kg of fish per person, is very high. Only countries like Iceland, Japan and some small insular nations reach a higher value. We still have to consider that of the total amount of protein necessary in our food consumption, 40 percent comes from fisheries. This corresponds to 15 percent of the total amount spent on food by the Portuguese population. From a social point of view, we estimate that there are, at present, 34 000. | Jurnal Ekonomi Malaysia 38 2004 29 - 62 Stock Prices Foreign Opportunity Cost and Money Demand in Malaysia A Cointegration and Error Correction Model Approach Mohd Zaini Abd Karim Tang Boon Guan ABSTRACT The main purpose ofthis study is to investigate the relevance of stock price and foreign opportunity cost variables to the money demand function in Malaysia using quarterly data over the period of 1982 1 to 1998 2 by employing recently developed econometric techniques of cointegration and error correction modeling. To take into account the effect of Asian Financial Crisis in mid 1997 on the behavior of the demand for money in Malaysia the sample period is divided into two sub-samples 1982 1 to 1996 4 and 1982 1 to 1998 2. The results provide evidence that the crisis somewhat affect the behavior of the money demand. The results of the study also show that the real money balances real income money s own rate of return the rate of return of alternative assets stock prices expected exchange rate depreciation andforeign interest rate are cointegrated suggesting the existence of a stable long run relationship among them in spite of the financial liberalization and innovation process that the Malaysian financial system has been experiencing. In addition the results also indicate the dominance of wealth effect over substitution effect and the presence of currency substitution in Malaysia. Keywords stock prices foreign opportunity cost money demand cointegration ABSTRAK Tujuan utama kajian ini ialah untuk menyiasat kerelevanan harga stok dan pembolehubah kos melepas asing dalam fungsi permintaan wang di Malaysia dengan menggunakan teknik kointegrasi dan modelpembetulan ralat. Analisis dijalankan menggunakan data sukuan bagi jangkamasa 1982 1 hingga 1998 2. Bagi mengambilkira kesan krisis kawangan Asia pada pertengahan tahun 1997 ke atas gelagat permintaan wang di Ma 30 Jurnal Ekonomi Malaysia 38 laysia sample data dibahagikan kepada dua jangkamasa 1982 1 hingga 1996 4 dan .

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