The Money Supply and the Stock Market

7 Pages Posted: 13 Oct 2005

See all articles by Michael S. Rozeff

Michael S. Rozeff

SUNY at Buffalo - Department of Financial & Managerial Economics

Abstract

This article examines several stock market trading rules that use publicly available money supply data. None of the rules predicts the future stock market behavior and none provides returns in excess of a comparison buy-and-hold rule. Stock returns are related to current and future money supply changes, however. That is, the stock market anticipates upcoming changes in money supply. Linear regression models that allow foresight of future money supply are able to beat the market. This shows that regression models are powerful enough to produce abnormal returns - if they have non-publicly available information.

Keywords: Efficient market, money supply, trading rules

JEL Classification: G11, G14

Suggested Citation

Rozeff, Michael S., The Money Supply and the Stock Market. Financial Analysts Journal, pp. 18-26, September/October 1975. Available at SSRN: https://ssrn.com/abstract=816207

Michael S. Rozeff (Contact Author)

SUNY at Buffalo - Department of Financial & Managerial Economics ( email )

Buffalo, NY 14260
United States

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
588
Abstract Views
2,477
rank
48,804
PlumX Metrics