The Effect of Oil Price Shock and Inflation on Stock Returns: A Comparative Study on ASEAN-3

Agatha Canonia Kristyaningrum,Hersugondo Hersugondo

doi:10.33633/jpeb.v6i1.3950

Agatha Canonia Kristyaningrum, Hersugondo Hersugondo

Open Access

https://doi.org/10.33633/jpeb.v6i1.3950

Copy DOI

Abstract

This study aims to examine the effect of the WTI type oil price shock and inflation on stock returns from the ASEAN-3 capital markets, namely Indonesia, Thailand, and Philippines. The data used are monthly data from 2015 to 2019. The data analysis technique used is multiple linear regression. The results showed that oil price shocks had a significant positive effect on stock returns on the JASICA Mining index and the SET Resources index, but had no significant effect on the PSE Mining and Oil index. Furthermore, inflation had a significant positive effect on stock returns of Indonesia seen from the JASICA Mining index. Whereas, inflation had no significant effect on the SET Resources index of Thailand and the PSE Mining and Oil stock index of Philippines. Keywords: Oil price shock, Inflation, Stock return

Highlights

The economy of a country can be an indicator of the success of a country's economic development
This study aims to see the effect of oil price shocks and inflation of each country, namely Indonesia, Thailand and Philippines, on stock returns of each stock index related to the mining sector
The population of this study is the mining sector stock index price data published by the Indonesia Stock Exchange (IDX), the SET Resources index published by the Stock Exchange of Thailand and the PSE Mining and Oil index published by the Philippine Stock Exchange

Summary

Introduction

The economy of a country can be an indicator of the success of a country's economic development. The success of a country's development can be increased through the economic growth of a country. One of the components that can encourage the country's economic growth is the capital market. The growth of the capital market can affect macroeconomic indicators, including economic growth measured by gross domestic product (GDP). The country's economic development requires adequate financing to realize a good economic development in the country. The source of government revenue can be through taxes, capital market and money market

Objectives

Methods

Conclusion