LONG RUN COINTEGRATION IN ASEAN-4 STOCK MARKET: WHAT WE LEARNED?

Authors

  • Eddy K Soegiarto University of 17 Agustus 1945 Samarinda
  • Faizal Reza University of 17 Agustus 1945 Samarinda
  • Adisthy Shabrina Nurqamarani University of 17 Agustus 1945 Samarinda

DOI:

https://doi.org/10.14738/abr.72.6183

Keywords:

macroeconomic variables, stock price, ARDL, cointegration.

Abstract

ASEAN-4 is an emerging market that experienced promising developed financial sector in recent years. The interaction between stock prices and macroeconomic variables has been extensively researched by researchers. By using secondary monthly ASEAN-4 data from January 2009 to December 2017 and using the ARDL estimation, it was found that exchange rates and GDP had a long-term positive effect on stock prices. While inflation, current account, and GDP have no effect on stock price formation. It is also found that there are co-integration in the short and long term in four ASEAN-4 countries. To strengthen the results of co-integration, using "one to one" interactions concluded that inflation, current accounts and interest rates have a very small contribution to the share price in ASEAN-4.

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Published

2019-02-17

How to Cite

Soegiarto, E. K., Reza, F., & Nurqamarani, A. S. (2019). LONG RUN COINTEGRATION IN ASEAN-4 STOCK MARKET: WHAT WE LEARNED?. Archives of Business Research, 7(2), 82–94. https://doi.org/10.14738/abr.72.6183

Issue

Vol. 7 No. 2 (2019): Archives of Business Research

Section

Articles