Jurnal Penelitian Ekonomi dan Bisnis
Vol 6, No 1 (2021): Jurnal Penelitian Ekonomi dan Bisnis

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

Agatha Canonia Kristyaningrum (Diponegoro University)
Hersugondo Hersugondo (Fakultas Ekonomi dan Bisnis Universitas Diponegoro)

Article Info

Publish Date
01 Apr 2021

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  

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Journal Info
Jurnal Penelitian Ekonomi dan Bisnis
Website

Abbrev

jpeb

Publisher

Universitas Dian Nuswantoro

Subject

Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

Description

JPEB is a periodical publication (two times a year, in March and September) with the primary objective to disseminate scientific articles in the fields of management, economics, accounting, and islamic economics. JPEB is accept your manuscript both written in Indonesian or ...