DOES UNCERTAINTY IN MONETARY GROWTH AFFECT THE EQUITY MARKET: THE CASE OF THAILAND

Jurnal EKONOM, Vol. 13, No. 4 Bulan Tahun

DOES UNCERTAINTY IN MONETARY GROWTH AFFECT THE
EQUITY MARKET: THE CASE OF THAILAND
1

Bany Ariffin, 2Wahyu Ario Pratomo, 3Agus Harjito
1

Lecturer at Universiti Malaya, Malaysia
Lecturer at Faculty of Economics, Universitas Sumatera Utara
3
Lecturer at Faculty of Economics, Universitas Islam Indonesia, Yogyakarta
2

Abstract: Banyak kajian tentang hubungan pertumbuhan jumlah uang beredar dan
harga surat berharga, namun hanya sedikit yang memperhatikan dampak dari
ketidakpastian pada pertumbuhan uang terhadap harga surat berharga. Elemen
dari tidakpastian pada pertumbuhan uang menurut para pakar adalah
meningkatnya kehati-hatian dari asset finansial yang beresiko dan ini berdampak
kepada harga surat berharga. Dengan menggunakan teknik ekonometrik, kajian ini

dibuat untuk mengetahui hubungan antara kedua variable di negara yang memiliki
pasar modal yang sedang berkembang, yaitu Thailand. Berbeda dengan hipotesis,
adanya ketidakpastian pada pertumbuhan uang tidak memberikan dampak
terhadap harga surat berharga. Namun ketidakpastian tersebut memberikan
dampak hubungan dinamis yang signifikan dalam jangka panjang.
Keywords : Ketidakpastian dalam pertumbuhan moneter dan ekuitas
INTRODUCTION
Over the years empirical studies that
examine the relationship between money
supply and stock prices are abundant and
with particular references to advanced
market. As a matter of fact, documented
evidence suggests that the issue has been
investigated as early as the sixties (Brunner
1961, Friedman 1961, Friedman and
Schwartz 1963 and Sprinkel 1964). From
seventies era through out the nineties, the
studies continue to be expanded in the
covering various markets worldwide i.
Based on the existing theoretical

frameworks, the propose relationship
between the two variables is a unidirectionally causation relationship running
from money supply to stock prices (Rozeff
1974). However despite the extensiveness of
the studies on these two variables, empirical
findings fail to reach a conclusive
agreement ii. Hence, the issue continues to
receive attention from both finance scholars
and researchers.
Theoretically, the value of a common
stock is determined by the present value of
the discounted expected cash inflows to be
received by investors who owned the stock in this case from dividend payments iii.
Therefore we may suggest that the ability of
a company to pay dividends will influence

the price of its stock.
Monetary economics framework has
provided an argument that links money
supply with stock prices iv. Thorbecke (1995)

for instance, argue that monetary policy has
real and quantitatively important effects on
the economy. He then prove in his model
that expansionary monetary policy will
exerts positive real effects by increasing
future cash flows or by decreasing the
discount factors at which those cash flows
are capitalized". Since the value of a stock is
a function of its cash flows and the
discounting factors, the model may indicate
that positive monetary shocks shall increase
industry stock returns.
The focus of this study is not on the
impact of money supply on stock prices per
say, but instead the impact of money supply
uncertainty on stock prices, which in our
opinion is still unclear.
According to
Friedman (1983 & 1984) because money
supply has a real effect on the economy,

therefore monetary growth variability should
increases the degree of perceived uncertainty
in the market. Given this argument and the
fact that financial asset ( i.e. common stock)
prices are dependence on investor
expectations (Rozeff 1974), an argument was
put forward by Boyle (1990) who argues that
changes in uncertainty regarding money
157

Bany Ariffin, Wahyu Ario Pratomo, Agus Harjito: Does Uncertainty in Monetary Growth Affect

stock will affect prices of common stock.
Theoretically, he claims that monetary
uncertainty alter the equity risk premium to
reflect the additional expected return
investors require for bearing the risk of
holding stocks during period economy
uncertainty. v Given the stock valuation
model presented in (see note 3), increase in

risk premium will result in decline in stock
price. Thus, monetary uncertainty is implied
to have an adverse relationship with stock
prices.
Since we believe this proposition has
never been tested in developing market, this
paper intends to ascertain the relationship
between monetary uncertainty and stock
prices, with a special reference to the Thai
stock market. Hence, the objectives of this
paper are twofold - first to test for the
existence of a relationship between the
uncertainty associated with the past
variability (uncertainty) of the money growth
and the stock prices. Secondly, to determine
if there presence a long-run dynamics
relationship between uncertainty in monetary
aggregate and stock prices.
The next section of the paper will
discuss the background of the study followed

by the presentation of data, methodology and
findings. A brief discussion of the findings
and its conclusion will end the paper.
Motive of the Study
In the context of Thai financial
market, Rungsun (1997) has performed one
of the comprehensive studies to determine
the relationship between money supply and
stock prices. They employ the Vector
Autoregression (VAR) methodology in order
to identify the relationship between money
supply and stock prices while controlling for
two others variables namely income and
interest rate. The result of the Granger
causality test shows the presence of a
significant
uni-directionaI
relationship
running from money supply to stock prices.
Using the impulse response function (IRF) it

was shown that stock prices response
positively following monetary expansion and
the impact peaks after seven month from the
initial shock. Motivated with the belief that
stock prices reflect real economic
performance (Roseff 1974), the authors
conclude that their finding is consistent with

158

the long-run effect of money on the real
sector.
Kessara (2001) conducts similar
study for the Thai market and found an
almost identical result.
Using the cointegration and error-correction model
(ECM), He discovers that the two variables stock prices and money, are nonstationary in
their level form but are co-integrated in the
long-run with the presence of error correction
representation. More significantly, he finds

from the error -correction model that money
supply, represented by M3, Granger cause
stock prices but not otherwise. He concludes
that his finding is inconsistent with the
efficient market hypothesis (EMH) since
market participants will be able to predict
stock prices in the market using information
on broad money supply, M3, as a trading rule
to earn excess returns.
The empirical results that suggest the
importance of monetary policy in influencing
stock prices in Thailand is not surprising
since the government has long been known
to pursue monetary policy in attaining
economic goals, one of which is price
stability in the country. The Thai central
bank is entrusted with the responsibility of
formulating and implementing the country's
monetary policy. One of the earlier strategies
has been targeting the monetary aggregate,

which saw the emphasis given on Ml and
eventually M3 to ensure sufficient liquidity
in the system to meet the demand of the
economy vi. The success of the monetary
targeting strategy is evident in its ability to
spur economic growth until mid- 1990’s. The
Thai’s economy continues to record
unprecedented growth rates from 1988 until
then.
However, the large capital influx into
the country since early 1990's has caused
considerable instability in the relationship
between monetary aggregates and nominal
GDP (Central Bank of Thai 2001). Output
growth is seen to cause monetary growth and
not vice versa, forcing the central bank- to
shift its strategy from monetary aggregate
targeting to interest rate targeting.
Nevertheless, the central bank still monitors
the monetary aggregates very closely despite

suggestions that they become unreliable
indicators of economic activity. During this
period, monetary velocities - the ratios of
nominal GDP to various monetary

Jurnal Ekonom, Vol. 13, No. 4 Oktober 2010

aggregates, are reported to frequently-depart
from the historical patters. This departure
from the historical pattern implies variation
in money growth (Central Bank of Thai
2001).
Following the Thorbecke (1995)
argument of monetary policy real and
quantitative effect on the economy, we
suspect that this phenomena -instability of
monetary aggregates over those periods
should have an affect on the level of
economic activity. In addition, since stock
prices reflect real economic performance, the

impact of the monetary uncertainty should
transpire in the common stock prices.
Considering this development, it is deemed
appropriate to pursue empirical evidence to
establish the relationship between monetary
uncertainty and stock price behaviors.
With this in mind, this paper is
designed to test two hypotheses, namely (i)
monetary uncertainty is negatively related to
stock prices vii, and (ii) stock price uncertainty
uncertainty to monetary uncertainty. The
major contribution of this paper is in its
attempt to clarify the issue of monetary
uncertainty and its effect on the Thai stock
market. The findings will be of use for
market participants and regulators alike.
METHODOLOGY AND FINDINGS
This study employs monthly data
running from 1989:01 to 2001:03. Using
M1 viii to represent monetary aggregate and
SET index ixas a proxy of stock prices, the
month to month (i.e. January-to January )
rate of change is computed to generate new
series that represent changes in M1 and SET
index. The monetary variability is measured
by calculating the standard deviation of
changes in the M1 series over one year
period x.
To measure the past history of
monetary instability, following Boyle (1990)
a series of one-year moving average of the
standard deviation is constructed. Similar
process is also performed on the SET index
series to accomplish the second objective of
the study. Overall, three series are generated
– namely moving average of standard
deviation of monetary growth, stock price
growth and moving average of standard
deviation for stock price growth.
In order to examine whether there is
a long run equilibrium relationship among

the variables, we employ the method of cointegration developed by Johansen (1991).
Prior to testing for co-integration, the time
series properties of the variable should be
investigated. If the variables are stationery,
conventional regression procedures are
appropriate. However, if the variables are
stationary, with time- dependent means and
variances, then test of co-integration are
necessary to establish long run relationship.
The test for unit roots employed is
Augmented Dickey-Fuller, suggested by
Dickey and Fuller (1979) and Phillip and
Peror (1988) respectively xi.
If both variable are non-stationery
and integrated of the same order, then the
relationship of these variables is estimated by
employing the co-integration methodology
suggested by Johansen (1991). The cointegration (see Engle and Granger, 1987) is
a long run relationship and it implies that
deviations from equilibrium are stationery,
with finite variance, even though the series
themselves are non-stationery and have
infinite variance.
If a common trend among a set of
variables that move together in the long run
equilibrium exists, the granger causality tests
should be constructed within a vector errorcorrection model (VECM) to avoid
misspecification. The granger causality test
is implemented by calculating the F-statistic
based on the null hypothesis that the set of
coefficient on the lagged values of
independent variables are not statistically
different from zero. If the null hypothesis is
not rejected, then it can be concluded that the
independent variable does not cause
dependent variable. If the coefficient of error
correction term from the co-integrating
regression is significant based on the tstatistic, then both independent and
dependent
variables have a stable
relationship in the long-run.
In order to examine the dynamic
properties of the system beyond the sample
period we use the variance decomposition
(VDCs) technique. Accordingly, the VECM
may be interpreted as within sample causality
test ( Masih and Masih 1996). It indicate
only the Granger-exogenity or endogenity of
the dependent variable within the sample
period. It does not provide an indicator of
the dynamic properties of the system, nor do
they allow us to gauge the relative strength of
159

Bany Ariffin, Wahyu Ario Pratomo, Agus Harjito: Does Uncertainty in Monetary Growth Affect

the Granger- causal chain or degree of
exogenity amongst the variable beyond the
sample period ( Masih and Masih 1995).
VDCs which may be termed as out-ofsample causality test, by partitioning the
variance of the forecast error of a certain
variable (say, money supply) into proportions
attributable to the innovations ( or shocks) in
each variable in the system including its own,
can provide an indication of these relativities.
A variable that is optimally forecast from its
own lagged values will have all its forecast
error variance accounted for by its own
disturbances (Sims 1982).
RESULTS
The result from the ADF tests is
presented in Table 1. They indicate that only
two series are nonstationery at level form but
integrated of first order, I(1). The two series
are moving average of standard deviation for
monetary growth (MADVM1) and moving
average of standard deviation for stock price
growth (MADVSTK). Since these two series
are integrated of the same level, it suggests
the presence of co-integration relationships
and that validates the use of co-integration
analysis to ascertain the long-run dynamic
between the two series.

Table 1. ADF tests for the presence of unit root
Variable
Statistic for level
Statistic for first
difference
MADVM1
-2.236148
-3.51462***
MADVSTK
-2.051253
-5.539158***
MAGSTK
-5.316498***
-6.772527
Note:
MADVM1= moving average std dev. of money growth
MADVSTK= moving average std. dev of stock price
growth
MAGSTK = stock price growth
* significant at 10%
** significant at 5%
*** significant at 1%

The results from co-integration
analysis are presented in table 2. Based on
the results presented in panel A of table 2, it
is found that the two series – moving average
of standard deviation for monetary growth
(MADVM1) and stock price growth
(MAGSTK) are not co-integrated in the
long-run. This is consistent with the ADF
test, which shows that these two series reach
their stationery at different level. However
panel B shows that the series of moving
average of standard deviation for monetary
growth (MADVM1) and moving average of
standard deviation for stock price growth
(MADVSTK) do indeed possess a long-run
equilibrium between them.

Table 2. results from Johansen’s co-integration analysis
Series: MADVM1 MAGSTK
Likelihood
5 Percent
1 Percent
Hypothesized
Eigenvalue
Ratio
Critical
Critical
No. of CE(s)
Value
Value
0.186979
21.45345
15.41
20.04
None
0.056217
4.686597
3.76
6.65
At most 1
Note: L.R. rejects any co- integration at 5% significance level
Panel A.

Panel B.
Eigenvalue
0.297045
0.054681

Series: MADVM1 MADVSTK
Likelihood
5 Percent
1 Percent
Ratio
Critical
Critical
Value
Value
33.10431
15.41
20.04
4.554846
3.76
6.65

Note: LR test indicates 2 co-integration equations at 5% level

160

Hypothesized
No. of CE(s)
None **
At most 1 *

Jurnal Ekonom, Vol. 13, No. 4 Oktober 2010

Table 3 presents the results of
VECM.
The coefficients for the error
correction terms (ECM) which represent the
speed of adjustment are found to be
significantly different from zero.
This
indicates the two series ( MADVM1 and
MADVSTK) simultaneously correcting for
the disequilibria resulting from momentary
deviation from their long-run equilibrium
path, thus explaining the cointegration
relationship between the series. The fact that
the two series are adjusting at different rates
and different significant level, that gives
raise to the matter of which series is the
leader and which variable is the follower.
Thus establishing the causal relationship
between the series. Because MADVSTK
adjusting more significantly in comparison to
MADVM1 based on the coefficient of the
ECM term and its significant level, this may
indicate that MADVSTK is the follower
while MADVM1 is the leader. In other
words, changes MADVM1 may lead to
changes in MADVSTK. Additional evidence
that provide support for this causation
relationship lies in their lagged coefficient.
The lagged coefficients for MADVM1 are
found to be significant from lagged 1 all the
way to lagged 3. On the hand the only
significant coefficient for MADVSTK are in
lagged 4. With evidence from the ECM
coefficient and the lagged coefficient, this
may indicate that the uncertainty in money
growth has more relevant effect on the
uncertainty in stock prices than vice versa.
Table 3. VECM estimates of the adjustment
coefficient
Dependent variable
MADVSTK
MADVM1
ECM t-1
-0.042757
0.001368
(0.01611)
(0.00374)
(-3.69225)
(1.12132)
D(MADVSTK(-1))

1.388107
(0.10993)
(13.4368)

0.033012
(0.03453)
(1.34582)

D(MADVSTK(-2))

-0.486587
(0.20503)
(-2.37317)

0.030333
(0.06441)
(0.47105)

D(MADVSTK(-3))

-0.337784
(0.21037)
(-1.60556)

-0.129220
(0.06608)
(-1.95568)

D(MADVSTK(-4))

0.382757
(0.12900)
(2.96676)

0.111997
(0.04053)
(2.76406)

D(MADVM1(-1))

-0.794600

1.715892

(0.35437)
(-2.24227)

(0.11130)
(15.4172)

D(MADVM1(-2))

1.079885
(0.72587)
(1.48770)

-1.138641
(0.22797)
(-4.99463)

D(MADVM1(-3))

-0.671035
(0.73300)
(-0.91547)

0.258231
(0.23021)
(1.12172)

D(MADVM1(-4))

-0.254664
-0.014365
(0.35990)
(0.11303)
(-0.70760)
(-0.12709)
Note: Standard errors & t-statistics in parentheses

The results for the variance
decomposition are found to be consistent
with that of the VECM causality test. For
example, in terms of own shock, MADVM1
shows its relative exogeneity with 83.649
percent of its own innovations in 20-quarter.
This result tends to confirm our initial
findings from the VECM formulation that the
MADVM1 is more exogenous of the two
series in the system developed. In 20quarter about 73.046 percent of the
MADVSTK shock is explained by
innovation in MADVM1 variable. This
result is consistent with the earlier results
provided by our VECM model, where
MADVSTK may be affected by MADVM1
and not the other way around. Again these
findings tend to highlight the roles played by
monetary uncertainty in influencing the
variability in the stock market.
DISCUSSION AND CONCLUSION
The paper aims at accomplishing two
objectives - first, to test for the existence of a
relationship between the uncertainties
associated with the variability of (past values
of)
money
growth
and
the
(contemporaneous) stock prices. Through the
analysis that has been conducted, it is found
that the variability of the past values of
money growth has no significant long-run
relationship with stock prices, as evident by
the lack of co-integration between the
moving average of standard deviation for
monetary growth and stock prices. This
finding rejects the proposition made by
Boyle (1990) who argues that changes in
uncertainty regarding money stock will affect
stock prices thus implying a negative
relationship. But such discovery on the Thai
stock market is nonetheless consistent with
the concept of efficient market since past
161

Bany Ariffin, Wahyu Ario Pratomo, Agus Harjito: Does Uncertainty in Monetary Growth Affect

information does not seem to influence the
contemporary stock prices. As such, it
suggests that market has already considered
past information of market uncertainty in
determining stock prices.
Secondly, the study intends to detect
for the presence of long-run dynamics
between uncertainty in monetary aggregate
and stock prices. Using Johansen (1991) cointegration analysis, the long-run relationship
between the uncertainties of the two
variables is detected. This finding conforms
to the suggestion that monetary policy has
real and quantitatively important effects on
the economy since uncertainty in the
monetary aggregate, is reflected in the
uncertainty in stock prices which is a proxy
of economic prosperity. The extent of the
relationship is further substantiated from the
VECM testing. It was shown in the testing
that monetary uncertainty indeed granger
cause stock prices variability. In addition our
variance decomposition procedure are also
pointed in the same direction.
This paper provides evidence that (i)
monetary uncertainty has no significant
relationship with the contemporaneous stock
prices, and (ii) the uncertainty in monetary
policy is co-integrated in the long run with
the uncertainty in stock prices, at least within
the context of Thailand. Given the
importance of the issue of uncertainty in
financial markets, this paper virtually
contributes to beef up the literature on the
subject particularly with reference to
emerging markets like Thailand. It is hope
that this effort will instigate further
investigations on the topic in view of its great
importance to market
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163

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Pertumbuhan Ekonomi Propinsi-propinsi di Indonesia. Tesis tidak diterbitkan.
Medan.SPs Universitas Sumatera Utara.
Internet :
Hitchkock, S. 1996. A Survey of STM Online Journals 1990-1995 : The Calm Before the
Storm, (http://journal.ecs.soton.ac.uk/survey/survey.html, diakses 12 Juni 1996).

8.

Semua artikel ditelaah oleh secara anonym oleh penyunting ahli yang ditunjuk berdasarkan
kepakaran dan kompetensinya. Perbaikan dimungkinkan setelah artikel tersebut disunting
dan pemberitahuan pemuatan tulisan atau ditolak akan diberitahukan kepada penulis.

9.

Proses penyuntingan terhadap draft tulisan dilakukan oleh penyunting dan atau melibatkan
penulis.

10. Segala sesuatu yang menyangkut dengan HAKI seperti perizinan pengutipan dan
penggunaan software computer dalam pembuatan artikel sepenuhnya menjadi tanggung
jawab penulis artikel.

Jurnal Ekonom, Vol. 13 No.1 Januari 2010 : 1-44
Author Indeks
F
Friska S, ” Value Chain Analysis (Analisis Rantai Nilai) untuk Keunggulan Kompetitif
Melalui Keunggulan Biaya, 13 (1): 36-44
G
Ginting Monalisa Br , Arifin Akhmad, ” Pengaruh Karakteristik Perusahaan terhadap
Kelengkapan Pegungkapan Laporan Keuangan pada Perusahaan Barang Konsumsi yang
Terdaftar di Bursa Efek Indonesia”, 13 (1): 18 - 26
H
Hidayat Paidi, ” Analisis Kausalitas dan Kointegrasi Antara Jumlah Uang Beredar,
Inflasi, dan Pertumbuhan Ekonomi di Indonesia”, 13 (1): 27 - 35
J
Jafar Hotmal, Iskandar Muda, Andri Zainal, Wahidin Yasin, ”Pengaruh Penerapan Total
Quality Management (TQM) terhadap Fungsi Audit Internal (Studi pada Perusahaan
Bersertifikasi ISO 9000 di Propinsi Sumatera Utara), ” 13 (1): 9 - 17
S
Simorangkir Indra Gabe , Isfenti Sadalia, ”Analisis Pengaruh Rasio Keuangan dan
Potensi Pertumbuhan serta Ukuran Perusahaan terhadap Kebijakan Dividen (Studi
Kasus di Bursa Efek Indonesia)”, 13 (1): 1 – 8

Jurnal Ekonom, Vol. 13 No.2 April 2010 : 45 - 87
Author Indeks
I
Irawati Nisrul, “ Analisis Hubungan Earning Per Share dengan Profitabilitas pada
Perusahaan Food and Beverages yang Go Public di Indonesia”, 13 (2): 56 - 64
L
Lubis Tapi Anda Sari, “ Persepsi Auditor dan User tentang Independensi Akuntan dan
Pengaruhnya terhadap Opini Audit”, 13 (2): 80 - 87
N
Nasution Budi Anshari, Arifin Akhmad, “ Pengaruh Struktur Modal, Biaya Ekuitas
(Cost of Equity) dan Pertumbuhan Perusahaan terhadap Nilai Perusahaan yang
Terdaftar di BEI”, 13 (2): 45 - 55
S
Sadalia Isfenti, Octavianus Pandiangan, “ Analisis Anomali Pasar Perdagangan pada
Return Saham di Bursa Efek Indonesia”, 13 (2): 71 - 79
S
Siregar Nurhayati, “ Prospek Industri Pariwisata Indonesia”, 13 (2): 65 - 70

Jurnal Ekonom, Vol. 13 No.3 Juli 2010 : 88 - 118
Author Indeks
B
Bahri Syamsul. “ Mencari Metode Penyusutan Aktiva Tetap yang Sesuai Bagi Industri
Kelapa Sawit”, 13 (3): 112 - 118
R
Ritonga Haroni Doli H, “ Pola Konsumsi Dalam Perspektif Ekonomi Islam”, 13 (3): 8891
R
Rosanna Ruth, “ Analisis Faktor-Faktor yang Mempengaruhi Pertumbuhan Modal
Sendiri Perusahaan Property, Real Estate & Building Construction di Bursa Efek
Indonesia”, 13 (3): 99 - 106
S
Santoso Imam,” Pengembangan Model Pemberdayaan Ekonomi Masyarakat Petani
Tepian Hutan Berbasis Perilaku Adaptif: Analisis Sosio Kultural”, 13 (3): 92 - 98
S
Siregar Setri Hiyanti, “ Mengelola Perubahan Organisasi”, 13 (3): 107 - 111

Jurnal Ekonom, Vol. 13 No.4 Oktober 2010 : 119 - 163
Author Indeks
A
Abdullah Tengku Mohammad Chairal, “ Profit Maximiziation Theory, Survival-Based
Theory and Contingency Theory: A Review on Several Underlying Research Theories
of Corporate Turnaround”, 13 (4):136-143
A
Arifin Bany, Wahyu Ario Pratomo, Agus Harjito, “ Does Uncertainty in Monetary
Growth Affect The Equity Market: The Case of Thailand”, 13 (4):157-163
S
Sirojuzilam. “Disparitas Ekonomi Wilayah Pantai Barat dan Pantai Timur Provinsi
Sumatera Utara”, 13 (4):144-156
W
Warokka Ari, Haim Hilman “ The Effects of Entrepreneurship, Competitiveness, and
Technology Innovation on Growth : A Case of Asean Economic Development”. 13
(4):119-127
W
Wibisono Chabbullah, “ Pengaruh Iman Kepada Rasul Terhadap Kinerja yang
Relegius”, 13 (4):128-135

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