Examining the effect of global commodity price on stock markets in Southeast Asian countries in the long term
Abstract
This study examines the effect of global commodity prices on the stock markets of six Southeast Asian Nations including Malaysia, Indonesia, Thailand, Singapore, Philippines and Vietnam in the long term from 2001 to 2018. The study also uses four domestic macroeconomic factors (including economic growth, inflation rate, exchange rate, interest rate) to explain fluctuations. of stock market indices. PMG model for tabular data is applied to analysize the long-term effect and short-term correction. The results show that the global commodity price factor is significant for the stock markets of Southeast Asian countries in the long term. Besides, domestic macro variables also have significant influences on the stock market in the long term.
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