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All Journal Jurnal Penelitian Ekonomi dan Bisnis
Agatha Canonia Kristyaningrum
Diponegoro University
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

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The Effect of Oil Price Shock and Inflation on Stock Returns: A Comparative Study on ASEAN-3 Agatha Canonia Kristyaningrum; Hersugondo Hersugondo
Jurnal Penelitian Ekonomi dan Bisnis Vol 6, No 1 (2021): Jurnal Penelitian Ekonomi dan Bisnis
Publisher : Universitas Dian Nuswantoro Semarang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33633/jpeb.v6i1.3950

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  
Co-Authors Hersugondo