The authors study the quarterly period 1960 - 1982 in Germany and the UK, finding the betas for lagged money supply to be significantly nonzero in both markets when regressing stock prices; this concludes that the stock market is not efficient with respect to money supply changes in Germany and the UK over that period. The authors then split the money supply into anticipated and unanticipated portions as other studies have done, and they find the same results for both variables: stock prices do not fully reflect anticipated or unanticipated money supply. As such, it appears that past information related to the money supply was not processed efficiently in stock prices.
Darrat, A. F. (1987). Money and Stock Prices in West Germany and the United Kingdom: Is the Stock Market Efficient? Quarterly Journal of Business & Economics, 26(1), 20.
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