An Empirical Analysis of Factors Affecting Stock Prices: A Case of East Asian Countries

Abstract

During the last few decades, concurrent growth has been observed in some ASEAN stockmarkets and their respective economies. Such growth raises an empirical question as a result of the changing macroeconomic environment. Considering it, the current study, by applying Feasible General Least Squares (FGLS) and Panel-Corrected Standard Errors (PCSE) approaches, analyzed the key macro-economic determinants related to the stock prices performance of five ASEAN countries (Thailand, Indonesia, Malaysia, Singapore, and Philippines). The results showed that money supply, exchange rate, the Morgan Stanley Capital International (MSCI) global index, global interest rate, and the Global Financial Crisis (GFC) are important causal variables in explaining stock prices. The implications of this research can be practically employed by individual investors, portfolio managers, and institutional investors who tend to invest in ASEAN equity markets.