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

Article Information ________________ Article history: Accepted: September 2020 Approved: January 2021 Published: March 2021 ________________


INTRODUCTION
According to Labonte (2011) inflation can be defined as a continuous increase in the price of goods in general, the increase in prices over a long period. The causes of inflation according to Suseno & Astiyah (2009) are divided into three, namely demand inflation, supply inflation and expectation inflation.

Hypothesis Development Effect of Oil Price Shock on Stock Return of JASICA Mining Index
According to Algia & Abdelfatteh (2018) oil price shock can be caused by financial shocks which cause a decline in stock prices and affect the stock returns received by investors. Oktavia (2015) in Salim (2018) oil price shock can affect a company's finance in terms of production costs. The impact of an increase in production costs is an increase in product prices and a decrease in the profits received by the company which affects the stock prices and stock returns received by investors. This is supported by the results of research by Hadi, et al. (2009) and Sehgal & Kapur (2012) showing that the oil price shock can affect stock returns from the Indonesian stock market index. Then the hypothesis is formulated as follows. H1: Oil price shock has a positive effect on stock returns of JASICA Mining Index (IDX)

The Influence of Indonesian Inflation on the Stock Return of JASICA Mining Index
Tandelilin (2010) in Salim (2018) states that inflation is an increasing on price that occurs continuously which results in weak people's purchasing power. Inflation can affect the companies in producing goods. The companies might earn a small income which makes investors reluctant to invest in the company. The next impact is declining in the company's stock price which results in lower stock returns received by investors Salim (2018) and Anisa & Darmawan (2018) analyzed the influence of one of the macroeconomic factors, namely inflation on stock returns in the mining sector and the results explained that Indonesia's inflation had a significant negative effect on stock returns in the mining sector listed on the IDX. Through the existing explanations, the following hypothesis is formulated. H2: Indonesia's inflation has a negative effect on stock returns on the JASICA Mining Index (IDX)

Effect of Oil Price Shock on Stock Return of SET Resources Index
Mugableh's (2017) research regarding changes in world oil prices on stock returns on the capital market in Southeast Asia shows that changes in world oil prices for the WTI type have a significant positive effect on the Thai capital market represented by the SET index. Furthermore, the research of Tchatoka, et al. (2019) regarding the effect of oil price shock on stock returns in the capital markets of countries that are quite dependent on world oil, one of which is Thailand and the result is that the oil price shock has a positive effect on the stock return of the Thai capital market. So, the following hypothesis is formulated. H3: Oil price shock has a positive effect on stock returns on SET Resources Index (SET)

The Influence of Thailand's Inflation on the Stock Return of SET Resources Index
Research by Tarazi & Gallato (2012) looks at the influence of macroeconomic factors, one of which is inflation on stock returns in the Thai capital market, the results show that inflation has a negative effect on stock returns on the Thai capital market. Furthermore, Wulandari (2015) examined the effect of monetary variables on the stock prices of the five ASEAN-5 stock indices, one of the variables is inflation and the results found that inflation has a negative effect on the SET Index stock price which will also have an impact on the SET Index stock return. So, the following hypothesis is formulated. H4: Thailand's inflation has a negative effect on stock returns on the SET Resources Index (SET)

The Effect of Oil Price Shock on the Stock Return of the PSE Mining and Oil Index
Research by Nandha & Hammoudeh (2007) shows the sensitivity of stock returns from 15 countries in the Asia Pacific region to changes in world oil prices. The results show that the Philippine capital market is very sensitive to changes in world oil prices. Thus, the result is that there is a significant positive relationship from changes in world oil prices to stock returns from the Philippine capital market. Furthermore, research by Aloui, et al. (2012) classifies the Philippines as a country that is quite dependent on world oil and this study proves that there is a significant and positive relationship between world oil price shocks and stock returns in emerging markets, one of which is the Philippine capital market. The hypothesis is formulated as follows. H5: Oil price shock has a positive effect on stock returns on the PSE Mining and Oil Index (PSE)

The Influence of Philippine Inflation on the Stock Return of the Mining and Oil PSE Index
Research by Ho & Odhiambo (2018) which examines the inflation rate, developments in the banking sector, economic growth, exchange rates, and stock market liquidity on the growth of the Philippine capital market. Using ARDL analysis, the results of the study explain that inflation has a negative impact on the growth of the Philippine capital market because it has an impact on stock prices and stock returns. Another study from Carino, et al. (2013) which examines the effect of macroeconomic factors, namely the amount of money supply, interest rates, CPI (inflation), t-bills rate, PSEi stock price and exchange rate on stock returns on stock indices from the market. the capital of the Philippines. Analysis using VECM results that inflation negatively affects the stock return of the Philippine capital market index. Therefore, based on the previous explanation, the following hypothesis can be formulated. H6. Inflation in the Philippines has a negative effect on stock returns on the PSE Mining and Oil Index (PSE)

METHOD
The data analysis technique of this research uses quantitative analysis with multiple linear regression which is processed using the EViews 10 application. The steps to carry out research data analysis are descriptive statistics, classical assumption tests consisting of multicollinearity test, autocorrelation test, normality test and heteroscedasticity test. Followed by hypothesis testing with the coefficient of determination (R2), simultaneous test (F test) and partial test (T test).
The data used is secondary data sourced from Bloomberg, the investing website, the Bank Indonesia (BI) website, the trading economics website and the Philippine Statistics Authority website. 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. In addition, the world oil price of West Texas Intermediate (WTI) type and inflation rates in Indonesia, Thailand and Philippines.
Selection of research samples using purposive sampling technique. The sample selection criteria that can be used as data for this research are the monthly closing price of WTI oil from January 2015 to December 2019, the closing price of the mining sector stock index on the IDX, the PSE Mining and Oil index from PSE and the SET Resources index. Then, the inflation data of Indonesia, Thailand and Philippines on a monthly basis from January 2015 to December 2019. Oil price shock has a skewness value of -0,3504 which indicates a negative value that can be interpreted that the data distribution has a long tail on the left side and kurtosis worth 3.44048 which has leptocurtic properties. Furthermore, Indonesia's inflation has a skewness value of 1.43463 which shows a positive value and means the data has a long tail on the right and kurtosis worth 3.65913 which means it has leptocurtic properties. Then, the stock return of JASICA Mining Index has a skewness value of 0.85799 which shows a positive value and is interpreted as having a long tail on the right and a kurtosis worth 4,1963 which means it has leptocurtic properties.

RESULT AND DISCUSSION
Furthermore, Thailand's inflation has a skewness value of -0.4899 which indicates a negative value which is defined as having a long tail value on the left and kurtosis having a value of 2,29554 which means having a platykurtic nature. Return on stock SET Resources has a value of skweness -0.2568 which has a negative value so it can be interpreted that the data has a long tail on the left and kurtosis has a value of 2,2151 which means it has platykurtic properties. Furthermore, Philippine inflation has a skewness value of -0.0477 which indicates a negative value, so it can be interpreted that the data has a long tail on the left and has a kurtosis value of 3.61409 which is leptocurtic because it has a value of more than 3. Finally, PSE Index stock return Mining and Oil has a skewness value of 0.63584 which indicates a positive value which means that the data has a long tail on the right and a kurtosis of 2.78977 which is platykurtic.
Hypothesis testing using the coefficient of determination (R2), F test and T test after the fulfillment of the classical assumption test which consists of normality test, autocorrelation, multicollinearity and heteroscedasticity are as follows. Table 2 presents the results of the coefficient of determination which is useful for measuring how far the independent variable affects the dependent variable. The results obtained on the JASICA Mining Index have the meaning that the independent variables (oil price shock and inflation in the State of Indonesia) have an effect on stock returns of the JASICA Mining Index by 13.10%, while at 86.90% other variables are obtained. Then, the SET Resources Index means that the independent variables (oil price shock and inflation in Thailand) have an effect on stock returns of the SET Resources Index by 23.45%, while 76.55% is influenced by other variables. Finally, the PSE Mining and Oil Index means that the independent variables (oil price shock and inflation in the Philippines) have an effect on stock returns on the PSE Mining and Oil Index by 4.36%, while 95.64% is influenced by other variables outside of the study. Source: E-Views 10 output, processed 2020 Table 3 presents the results of the F test which is useful for seeing whether there is a significant effect of the independent variable on the dependent variable simultaneously. The results show that the JASICA Mining Index has a probability value of F-Statistic less than the significance value (α = 5%), which is 0.018275. It means that the oil price shock and inflation in the Indonesian State simultaneously have a significant effect on stock returns on the JASICA Mining Index. Furthermore, SET Resources Index has a probability value of F-Statistic less than the significance value, which is 0.000493. It means that the oil price shock and inflation in Thailand simultaneously have a significant effect on stock returns on SET Resources Index. Finally, the PSE Mining and Oil Index has an F-Statistic probability value of more than the significance level, which is 0.280910. It means that the oil price shock and inflation in the Philippines simultaneously do not have a significant effect on stock returns on the PSE Mining and Oil Index. Source: E-Views 10 output, processed 2020 Table 4 presents the results of the T test which is useful for determining the effect of each independent variable on the dependent variable. The results of the JASICA Mining Index show that the oil price shock variable using a significance value of 10% has a significant effect on stock returns. JASICA Mining Index is evidenced by the prob value. The T-Statistic is less than the significance value. Indonesia's inflation has a significant effect on stock returns of JASICA Mining. Furthermore, the SET Resources Index shows that the oil price shock variable has a significant effect on stock returns of the SET Resources Index. However, inflation in Thailand has no significant effect on stock returns because it has a prob value. The T-Statistic is more than the level of significance. Finally, the PSE Mining and Oil Index states that the oil price shock variable does not have a significant effect on stock returns of the PSE Mining and Oil Index, as well as inflation in the Philippines also has no significant effect on stock returns on the PSE Mining and Oil Index as evidenced by the prob value. The T-Statistic is more than the level of significance.

CONCLUSION AND RECOMMENDATION
Hypothesis 1 (H1) is proven, namely oil price shock has a significant positive effect on stock returns on the JASICA Mining index. Then, hypothesis 2 (H2) is proven, Indonesia's inflation has a significant negative effect on stock returns on the JASICA Mining index. Furthermore, hypothesis 3 (H3) is proven, namely that the oil price shock has a significant positive effect on stock returns on the SET Resources index. Hypothesis 4 (H4) is not proven, because inflation in Thailand has no significant effect on stock returns on the SET Resources index. Hypothesis 5 (H5) is not proven, because the oil price shock has no significant effect on stock returns on the PSE Mining and Oil index. Finally, hypothesis 6 (H6) is not proven, because inflation in the Philippines has no significant effect on stock returns on the PSE Mining and Oil index.
The results of this study can provide as an input for investors who will carry out investments. Firstly, investors should be able to see the conditions of stock returns on each stock index. Secondly, investors should also be able to know and observe factors that affect stock returns from a stock index, including oil price shocks and inflation.
Further research can add other macroeconomic variables, apart from inflation which can affect stock returns. Besides that, it is can also include other countries in ASEAN, apart from only three countries, Indonesia, Thailand and the Philippines.