An analysis on the impact of crude oil prices and macroeconomic indicators on the ASEAN-5 stock market index: The 2022 Russian invasion of Ukraine

• Main Authors: Gallardo, Sophia Anne B., Kau, Jasmine F., Remegio, Christelle Joy V., Vibar, Jaylyn M.
• Format: text
• Language: English
• Published: Animo Repository 2023
• Subjects: Petroleum products—Prices—Southeast Asia; Stock price indexes—Southeast Asia; Ukraine—History—Russian Invasion, 2022- —Economic aspects; Finance; Other Business
• Online Access: https://animorepository.dlsu.edu.ph/etdb_finman/79; https://animorepository.dlsu.edu.ph/context/etdb_finman/article/1067/viewcontent/An_Analysis_on_the_Impact_of_Crude_Oil_Prices_and_Macroeconomic_I.pdf
• Institution: De La Salle University

The study aimed to determine the impact of the volatility of crude oil prices and macroeconomic factors, including GDP growth rate, interest rate, and foreign exchange rate on the stock market index returns of the ASEAN-5 countries within the 2022 Russian invasion of Ukraine as a moderating variable, where the timeline covered is from 2017 to 2022. In assessing the aforementioned variables that have a uniform monthly frequency, different statistical methods and tests such as the KPSS Test, ADF Test, GARCH Model, AIC, BIC, ARCH Test, Weighted Ljung-Box Test, and Panel Regression Model have been utilized. After careful examination, the results of the study indicated that volatility in oil prices holds a significant effect on the ASEAN-5 stock market index returns, while fluctuations in the foreign exchange rate were found to affect Indonesia, Thailand, and Vietnam’s stock indices. On the contrary, results showed that the GDP growth rate and interest rate are not substantial measures to assess the stock index performance of the selected countries. Hence, the findings of the study will be able to guide the policymakers and governments of the ASEAN-5 to create and further improve their respective financial policies which will aid the countries’ economies and stock market industry to thrive amid the volatilities of macroeconomic indicators and crude oil prices.