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Macroeconomic Fundamental and Stock Price Index in Southeast Asia Countries: A Comparative Study

Author

Listed:
  • Sugeng Wahyudi

    (Department of Management, Faculty Economics and Business, Diponegoro University, Semarang, Indonesia,)

  • H. Hersugondo

    (Department of Management, Faculty Economics and Business, Diponegoro University, Semarang, Indonesia,)

  • Rio Dhani Laksana

    (Department of Management, Faculty Economics and Business, Diponegoro University, Semarang, Indonesia,)

  • R. Rudy

    (Department of Management, Faculty Economics and Business, Diponegoro University, Semarang, Indonesia.)

Abstract

This study analyzed the effect of macroeconomic variables on the composite index in the Southeast Asia Countries. The variable in this study is inflation, interest rate, exchange rate, gross domestic products (GDP), crude oil price, primary commodity price and wages in Indonesia, Malaysia, Singapore, Philippine, and Thailand. The study used time series data from the 2001-2015 at each country. By using an analysis technique threshold autoregressive conditional heteroscedasticity, the results from showed that the inflation interest rate, GDP have a negative effect on the composite index in all countries except Thailand; crude oil price has the positive effect in Indonesia, Malaysia, and Singapore, while in the Philippine and Thailand has a positive effect. Primary commodity price has a positive effect on the composite index only in Singapore, meanwhile in the Philippine and Thailand has a negative effect on the composite index. Wages have a positive and significant effect on the composite index in all countries.

Suggested Citation

  • Sugeng Wahyudi & H. Hersugondo & Rio Dhani Laksana & R. Rudy, 2017. "Macroeconomic Fundamental and Stock Price Index in Southeast Asia Countries: A Comparative Study," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 182-187.
    • Handle: RePEc:eco:journ1:2017-02-24
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    References listed on IDEAS

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    Cited by:

    1. Sri Utami Ady, 2021. "The Effect of World Oil Prices, Gold Prices, and Other Energy Prices on the Indonesian Mining Sector with Exchange Rate of Indonesian Rupiah as the Moderating Effect," International Journal of Energy Economics and Policy, Econjournals, vol. 11(5), pages 369-376.
    2. Didik Susilo & Sugeng Wahyudi & Irene Rini Demi Pangestuti, 2020. "Factors Affecting the Indonesia Stock Exchange: A Multi-Index Approach," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 11(2), pages 196-204, April.
    3. Mtero, Charles Tapedza & Runganga, Raynold, 2021. "Inflation and Stock Market Returns in Zimbabwe: Comparison Among the GARCH, EGARCH and TGARCH Models," MPRA Paper 112408, University Library of Munich, Germany, revised 15 Mar 2022.

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    More about this item

    Keywords

    Macroeconomic; Threshold Autoregressive Conditional Heteroscedasticity; Southeast Asian Countries;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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