Previous research on the relationship between money supply and stock prices has primarily focused on the statistical causal relationship between changes in money supply and changes in stock returns. However, it is typically investors' expectations regarding changes in money supply, rather than the changes themselves, that affect stock demand and stock prices. Therefore, this paper introduced an expectations model (ARIMA) for estimating changes in money supply and analyzed the causal relationship between expected changes in money supply and changes in stock returns by phase and by channel. The analysis results show that in the case of Korea, the current and future terms of unexpected monetary changes effectively explain changes in stock returns. This implies that the stock market is efficient with respect to monetary information. Furthermore, it was found that changes in money supply affect the stock market more directly through changes in economic activity and prices rather than through interest rates.