WAHYUDI, Sugeng (2017) Macroeconomic Fundamental and Stock Price Index in Southeast Asia Countries: A Comparative Study. International Journal of Economics and Financial Issues, 2017, 7 (2). pp. 182-187.

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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.

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