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The Impact of Macro Economy on Stock Price Index: An Empirical Study of Five ASEAN Countries

Author

Listed:
  • Embun Prowanta

    (Faculty of Economics and Business, University of Brawijaya, Indonesia Author-2-Name: Moeljadi Author-2-Workplace-Name: Faculty of Economics and Business, University of Brawijaya, Indonesia Author-3-Name: Sumiati Author-3-Workplace-Name: Faculty of Economics and Business, University of Brawijaya, Indonesia Author-4-Name: Kusuma Ratnawati Author-4-Workplace-Name: Faculty of Economics and Business, University of Brawijaya, Indonesia)

Abstract

"Objective � The objective of the study is to empirically investigate the relationship between macroeconomic variables as Gross Domestic Product (GDP), inflation, interest rates, exchange rates, foreign exchange reserves, current accounts and export-import towards the stock price index. Methodology/Technique � The data used is monthly data for macroeconomic and the stock price index of five ASEAN countries including Indonesia, Malaysia, Singapore, Thailand and the Philippines from 2006 to 2015. The analysis uses a regression estimation of panel data and a series of chow tests i.e. the Hausman test and the LM test as the selection process, with the aim of determining the macroeconomic variables that could significantly affect the stock price index of five ASEAN countries. Findings � The result show that of the seven macroeconomic variables affecting the stock price index, only four macroeconomic variables showed a significant effect. These are GDP, interest rates, exchange rates, and inflation. Meanwhile, three other variables (foreign exchange reserves, current accounts and export-import) did not show a significant effect. Novelty � The study looked at the effect of deregulation on stock markets, focusing on variables that significantly influence the stock price index."

Suggested Citation

  • Embun Prowanta, 2017. "The Impact of Macro Economy on Stock Price Index: An Empirical Study of Five ASEAN Countries," GATR Journals gjbssr467, Global Academy of Training and Research (GATR) Enterprise.
    • Handle: RePEc:gtr:gatrjs:gjbssr467
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    References listed on IDEAS

    as
    1. Saunders, Anthony & Tress, Richard B, 1981. "Inflation and Stock Market Returns: Some Australian Evidence," The Economic Record, The Economic Society of Australia, vol. 57(156), pages 58-66, March.
    2. Fama, Eugene F, 1981. "Stock Returns, Real Activity, Inflation, and Money," American Economic Review, American Economic Association, vol. 71(4), pages 545-565, September.
    3. Gultekin, Mustafa N. & Gultekin, N. Bulent, 1983. "Stock market seasonality : International Evidence," Journal of Financial Economics, Elsevier, vol. 12(4), pages 469-481, December.
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    More about this item

    Keywords

    Stock Price Index; Macro Economics; Five ASEAN Countries.;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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