Abstract
The purpose of this study is to investigate the empirical relationship between money supply, and stock prices in the Kuala Lumpur Stock Exchange (KLSE), using monthly data that span from January 1984 to September 1992. Specifically, we test for market informational efficiency in KLSE by testing the causal relationship between money supply, M3 and stock prices using the cointegration technique. Results from our Error Correction models suggest that the informational efficiency markets hypothesis can be rejected for the KLSE.

Abstrak
Tujuan kajian ini adalah untuk menyelidik hubungan empirik antara penawaran wang dan harga-harga saham di Bursa Saham Kuala Lumpur (KLSE) dengan menggunakan data bulanan yang merangkumi Januari 1984 hingga September 1992. Khususnya, kecekapan pasaran terhadap penerimaan maklumat di Bursa Saham Kuala Lumpur diuji dengan melihat hubungan sebab antara penawaran wang, M3, dan harga-harga saham dengan teknik 'cointegration'. Hasil daripada 'Error Correction Model' mencadangkan bahawa hipotesis kecekapan pasaran terhadap penerimaan maklumat boleh ditolak untuk Bursa Saham Kuala Lumpur.