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AUTHOR(S): Hersugondo Hersugondo, Rio Dhani Laksana
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ABSTRACT this study analyzes the effect of crude oil price and macroeconomic variables in the composite index in emerging capital markets southeast asia's countries include singapore, indonesia, malaysia, , philippines, and thailand. this study uses time series data 2005 to 2017 data on crude oil price, inflation, interest rates, exchange rates, gdp, primary commodity price and wage with generalized autoregressive conditional heteroscedasticity models (garch) analyzing techniques. the results in inflation have a negative significant effect on composite index. in thailand, inflation has a positive and significant effect on composite index. interest rates have a significant negative effect on composite index only in thailand. in singapore, indonesia, malaysia, and philippines interest rate has a positive significant effect on composite index. the exchange rate has a positive significant effect on the composite index in malaysia and thailand. while in indonesia, even the exchange rate has a negative effect on composite index but not significant. gdp has a positive and significant effect on composite index. |
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KEYWORDS crude oil price, macroeconomic variables, composite index, garch. |
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Cite this paper Hersugondo Hersugondo, Rio Dhani Laksana. (2020) The Effect of Crude Oil Price and Macro Economic Variables on Aggregate Stock Index in Emerging Capital Markets Southeast Asia's. International Journal of Environmental Science, 5, 185-191 |
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