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Causality test between exchange rate, inflation rate and Stock Price Index in Southeast Asia

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  • Tifa Noer Amelia

    (Perbanas Institute, Indonesia)

Abstract

This paper examines the causality relationship between stock price index, exchange rate and inflation. The sample is gathered from monthly report for the period of 2012-2015 published in Southeast Asia consisting of Lao PDR, Malaysia, Indonesia, Singapore and Thailand. Hypothesis is found that all of the variables identified have a causality relationship. Research proves that the Southeast Asian countries should monitor each other's Economic condition continuously since a change in a country's indicator can relate and has the impact on the other country. However, the relationship strength is moderate and weak. So the research must be updated every year since it is valid for short term or maximum for one year.

Suggested Citation

  • Tifa Noer Amelia, 2016. "Causality test between exchange rate, inflation rate and Stock Price Index in Southeast Asia," Journal of Administrative and Business Studies, Professor Dr. Usman Raja, vol. 2(2), pages 101-106.
    • Handle: RePEc:apb:jabsss:2016:p:101-106
    DOI: 10.20474/jabs-2.2.5
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    References listed on IDEAS

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    1. Fabiano Mello da Silva & Daniel Arruda Coronel & Kelmara Mendes Vieira, 2014. "Causality and Cointegration Analysis between Macroeconomic Variables and the Bovespa," PLOS ONE, Public Library of Science, vol. 9(2), pages 1-9, February.
    2. Graham Bird & Ramkishen Rajan, 2002. "Optimal currency baskets and the third currency phenomenon: exchange rate policy in Southeast Asia," Journal of International Development, John Wiley & Sons, Ltd., vol. 14(8), pages 1053-1073.
    3. Ramkishen S. Rajan, 2011. "Exchange Rate Regimes in Asia," Palgrave Macmillan Studies in Banking and Financial Institutions, in: Emerging Asia, chapter 4, pages 22-25, Palgrave Macmillan.
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    Cited by:

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    2. Vietha Devia SS, 2019. "Analysis of Crude Oil Price and Exchange Rate Volatility on Macroeconomic Variables (Case Study of Indonesia as Emerging Economic Country)," International Journal of Business and Administrative Studies, Professor Dr. Bahaudin G. Mujtaba, vol. 5(5), pages 257-271.
    3. Cholifah Bahri & Mahsina S. E & Asmie Poniwati, 2017. "The influence of undervaluation, free cash flow, leverage and dispersion of ownerships toward company’s stock repurchase (An empirical study of Indonesia stock exchange public listed companies)," Journal of Administrative and Business Studies, Professor Dr. Usman Raja, vol. 3(5), pages 235-247.

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