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

Agatha Canonia Kristyaningrum, Hersugondo Hersugondo

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

 


Full Text:

PDF

References


Aloui, C., Nguyen, D. K., & Njeh, H. (2012). Assessing the impacts of oil price fluctuations on stock returns in emerging markets. Economic Modelling, 29(6), 2686–2695.

Anisa, I., & Darmawan, A. (2018). Pengaruh Ekonomi Makro dan Harga Komoditas Tambang Dunia terhadap Indeks Harga Saham Sektor Pertambangan di Indonesia. Jurnal Administrasi Bisnis (JAB), 56(1), 197–206.

Carino, C. J., Ong, C., & Orbeta, M. C. (2013). Philippines: Time Series Analysis of Stock Market Returns and Their Macroeconomic Impacts for Years 2002 through 2011. (June).

Hadi, A. R. A., Yahya, M. H., & Shaari, A. H. (2009). The effect of oil price fluctuations on the Malaysian and Indonesian stock markets. Asian Journal of Business and Accounting, 2(1–2), 69–91.

Henriques, I., & Sadorsky, P. (2011). The effect of oil price volatility on strategic investment. Energy Economics, 33(1), 79–87.

Ho, S. Y., & Odhiambo, N. M. (2018). Analysing the macroeconomic drivers of stock market development in the Philippines. Cogent Economics and Finance, 6(1).

Kilian, L., & Park, C. (2009). The impact of oil price shocks on the U.S. stock market. International Economic Review, 50(4), 1267–1287.

Kusuma, F. P. P. (2015). Analisis pengaruh inflasi, suku bunga bi rate dan nilai tukar rupiah terhadap harga saham. Jurnal Ekonomi Bisnis, 1–15.

Labonte, M. (2011). Inflation: Causes, costs, and current status. Inflation and the Consumer Price Index: Costs and Considerations, 1–18.

Mugableh, M. I. (2017). World Oil Price Volatility and Stock Returns Fluctuations: Evidence from Southeast Asian Equity Markets. Sci.Int.(Lahore), 29(4), 759–762.

Nandha, M., & Hammoudeh, S. (2007). Systematic risk, and oil price and exchange rate sensitivities in Asia-Pacific stock markets. Research in International Business and Finance, 21(2), 326–341.

Pardede, N., Hidayat, R., & Sulasmiyati, S. (2016). PENGARUH HARGA MINYAK MENTAH DUNIA, INFLASI, SUKU BUNGA (CENTRAL BANK RATE), DAN NILAI TUKAR (KURS) TERHADAP INDEKS HARGA SAHAM SEKTOR PERTAMBANGAN DI ASEAN (Studi pada Indonesia, Singapura, dan Thailand Periode Juli 2013 â Desember 2015). Jurnal Administrasi Bisnis S1 Universitas Brawijaya, 39(1), 87417.

Salim, K. (2018). Analisis Pengaruh Harga Minyak Dunia, Inflasi, Tingkat Suku Bunga SBI, Kurs Rupiah/US$ Terhadap Return Saham Sektor Pertambangan Yang Tercatat Di Bursa Efek Indonesia. Jurnal Ilmu Akuntansi Mulawarman, 4, 25.

Sehgal, S., & Kapur, R. (2012). Relationship between Oil Price Shocks and Stock Market Performance: Evidence for Select Global Equity Markets. Vision: The Journal of Business Perspective, 16(2), 81–92.

Suseno, & Astiyah, S. (2010). Seri Kebanksentralan No. 22 - Inflasi. Bank Indonesia, 22(22), 1–68.

Tandelilin, Eduardus. 2010. Portofolio dan Investasi Teori dan Aplikasi. Edisi Pertama. Yogyakarta : Kanisius.

Tarazi, R. E., & Gallato, C. (2012). Determinants of Expected Stock Returns: Evidence from the Malaysian and Thai Markets. SSRN Electronic Journal, 1–12.

Tchatoka, F. D., & Masson, V., & Parry, S. (2019). Linkages between oil price shocks and stock returns revisited. Energy Economics, 82, 42–61.

Vu, T. N. (2019). Impact of crude oil price volatility on southeast Asian stock returns. Southeast Asian Journal of Economics, 7(2), 107–125.

Wulandari, Dwi. (2015). Pengaruh Beberapa Variabel Moneter Terhadap Harga Saham di Lima Negara Asean. Jurnal Ekonomi Kuantitatif Terapan, 7(2), 183-191.




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

Article Metrics

Abstract view : 377 times
PDF - 329 times

DOI (PDF): https://doi.org/10.33633/jpeb.v6i1.3950.g2233

Refbacks

  • There are currently no refbacks.


 

Jurnal Penelitian Ekonomi dan Bisnis (JPEB)

Published by
Fakultas Ekonomi dan Bisnis | Universitas Dian Nuswantoro
Jalan Nakula I No. 5-11, Semarang 50131, Indonesia

Email: udinusjpeb@gmail.com
Phone: (024) 3567010
Website:  http://publikasi.dinus.ac.id/index.php/jpeb

ISSN
2442-5028 (Print)
2460-4291 (Online)

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.