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

Abstract

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.