Determining the effect of macroeconomic volatility on stock returns: Evidence from selected Southeast Asian markets

Date of Publication

2013

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Commerce Major in Management of Financial Institutions

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Thesis Adviser

Ricarte Q. Pinlac

Defense Panel Chair

Ruben Carlo O. Asuncion

Defense Panel Member

Jerome Palaganas

Abstract/Summary

Asian markets have great potential as these markets are at the forefront of production of global goods such as electronics components and automobiles. However, emerging markets also account for greater risks as compared to that of developed markets. This paper investigates the different effects of key macroeconomic indicators like exchange rate, interest rate, industrial production index and money supply in five South East Asian countries on stock returns. The MSCI World Index and the U.S. 3-month T-bill yield are also included to proxy the effects of global variables. Using a six variable vector autoregressive (VAR) model, the study finds that the global variables, MSCI World Index is consistently significant in explaining all the markets while the U.S. 3-month T-bill yield had varying significance across the markets. The macroeconomic variables were found to impact the markets at different significance and weights. The findings of this study shed light on how both investors and policy makers should make decisions in each country.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU17242

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

85 leaves

Keywords

Foreign exchange rates--Southeast Asia; Interest rates--Southeast Asia; Industrial productivity--Southeast Asia; Money supply--Southeast Asia

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