Abstract
The concurrent growth in some ASEAN stock markets and their economies in the last two decades raises empirical questions regarding the fundamental connection between stock price and key macroeconomic variables. This study investigates the role of select macroeconomic variables, i.e., GNP, the consumer price index, the money supply, the interest rate, and the exchange rate on the stock prices in five ASEAN countries (Indonesia, Malaysia, Philippines, Singapore, and Thailand). We observe long and short term relationships between stock prices and these macroeconomic variables. Moreover, the macroeconomic variables in these countries cause and are caused by stock prices in the Granger sense. Since the stock prices interact with the key macroeconomic variables in the short and long run, decent government economic or financial policies can yield impressive gains in both the sectors.
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