The impacts of global commodity prices on the southeast ASIA stock market

Abstract

This study examines the impact of global commodity price and macroeconomic factors on the stock market movements of six Southeast Asian countries: Malaysia, Indonesia, Thailand, Singapore, Philippines, and Vietnam. The global macro factors are the global commodity price, and four factors of domestic macroeconomics, including economic growth, inflation rate, exchange rate, and interest rates, which are used to explain the volatility of the stock market. Applying the model for table data such as POLS, FEM, REM, GLS, DGMM results showed that global commodity prices have an impact on the stock markets of Southeast Asian countries. In addition, there was a strong impact of interest rates, exchange rates, and inflation rates on the stock market, while economic growth was found to be surprisingly insignificant.