CAUSALITY RELATIONSHIP BETWEEN EXCHANGE RATE AND STOCK PRICE INDEX IN ASEAN-4

Penulis

  • Khoerunisa Faculty of Economics, Universitas Negeri Jakarta, Indonesia

Kata Kunci:

ASEAN; Exchange rate; Stock Price Index

Abstrak

This study aims to determine the causal relationship between the exchange rate and stock price index in
ASEAN-4 in 2012 to 2020. The four countries used in this study are countries in Southeast Asia which are
included in the category of emerging market countries, namely Indonesia, Malaysia, the
Philippines, and Thailand. This study uses a quantitative method with a comparative causal
approach, through the technical analysis of Vector Autoregression (VAR) to determine whether or not
there is a causal relationship between the research variables. This study uses secondary data obtained
from publications from institutions. This study found that there is a one-way causality relationship and
does not apply the opposite from the stock price index to the exchange rates in Indonesia, Malaysia, and the
Philippines in the long and short term. Meanwhile, there is a one-way relationship and does not apply
the opposite from the exchange rate to the stock price index in Thailand in the long and short term.

Unduhan

Diterbitkan

2021-03-31

Cara Mengutip

Khoerunisa. (2021). CAUSALITY RELATIONSHIP BETWEEN EXCHANGE RATE AND STOCK PRICE INDEX IN ASEAN-4. Jurnal Pendidikan Ekonomi, Perkantoran, Dan Akuntansi, 2(1), 27–38. Diambil dari https://journal.unj.ac.id/unj/index.php/jpepa/article/view/30101

Terbitan

Vol 2 No 1 (2021): Jurnal Pendidikan Ekonomi, Perkantoran, dan Akuntansi

Bagian

Articles

Lisensi

Articles in Jurnal Pendidikan Ekonomi, Perkantoran, dan Akuntansi are Open Access articles published under the Creative Commons CC BY-NC-SA License  This license permits use, distribution and reproduction in any medium for non-commercial purposes only, provided the original work and source is properly cited. Any derivative of the original must be distributed under the same license as the original.