Composite Stock Price Index and Currency Exchange Rates of 4 Countries in Southeast Asia after Covid-19

Dias Satria

Abstract


The Covid-19 pandemic has caused a social and economic crisis in every country, leading to economic shocks that can be observed through the movement of the Composite Stock Price Index (CSPI) and Exchange Rate (ER). To determine the economic conditions of four Southeast Asian countries, this study aims to examine their exchange rates and CSPI. However, the pandemic has made economic factors unpredictable since every country has responded differently to it. The research focuses on Indonesia, Malaysia, Singapore, and Thailand from 2013 to 2022, using Vector Autoregression Model (VAR) modeling to analyze the relationship between the variables and their movements. The study found that exchange rate changes in the previous two periods significantly influence exchange rate changes in the four countries, and changes in exchange rates and JCI in Indonesia and Thailand affect subsequent changes with a longer time horizon. The study's results emphasize the importance of tailoring economic management based on each country's unique economic characteristics and taking measures to stabilize the exchange rate and CSPI movement. Policymakers and investors should consider the findings of this study to make informed economic decisions, especially in anticipating the impact of sudden exchange rate fluctuations and their potential long-term consequences.


Keywords


Composite Stock Price Index; Exchange Rate; VAR

Full Text:

PDF

References


Abina, A. P., & Lemea, G. M. (2019). Capital Market and Performance of Nigeria Economy. International Journal of Innovative Finance and Economics Research, 7(2), 51–66.

Acikalin, S., Aktas, R., & Unal, S. (2008). Relationships between stock markets and macroeconomic variables: An empirical analysis of the Istanbul Stock Exchange. Investment Management and Financial Innovations, 5(1), 8–16.

Alfian, A., & Mustafa, M. (2019). Analysis of Behavior Relationship Between Exchange Rate (USD / IDR), Interest Rate, Inflation, Growth of GDP and Indonesian Composite Index (IHSG) in Indonesia Stock Exchange Period 2008-2018. Saudi Journal of Business and Management Studies, 04(12), 860–867. https://doi.org/10.36348/sjbms.2019.v04i12.001

Aremo, A. G., Olabisi, O. E., & Adeboye, O. O. (2020). Effects of Selected Macroeconomic Variables on Stock Market Returns in Nigeria. Asian Journal of Economics, Business and Accounting, 16(3), 56–70. https://doi.org/10.9734/ajeba/2020/v16i330242

Arisandhi, V. D., & Robiyanto, R. (2022). Exchange Rate, Gold Price, and Stock Price Correlation in Asean-5: Evidence From Covid-19 Era. Jurnal Manajemen Dan Kewirausahaan, 24(1), 22–32. https://doi.org/10.9744/jmk.24.1.22-32

Asare Vitenu-Sackey, P., & Barfi, R. (2021). The Impact of Covid-19 Pandemic on the Global Economy: Emphasis on Poverty Alleviation and Economic Growth. The Economics and Finance Letters, 8(1), 32–43. https://doi.org/10.18488/journal.29.2021.81.32.43

Astuti, R., Apriatni, E. ., & Susanta, H. (2013). Analisis Pengaruh Tingkat Suku Bunga (Sbi), Nilai Tukar (Kurs) Rupiah, Inflasi, Dan Indeks Bursa Internasional Terhadap Ihsg (Studi Pada Ihsg Di Bei Periode 2008-2012). Diponegoro Journal of Social and Politic of Science, 1–8.

Basri, M. C., & Hill, H. (2020). The Southeast Asian Economies in the Age of Discontent. Asian Economic Policy Review, 15(2), 185–209. https://doi.org/10.1111/aepr.12305

Erlando, A., Riyanto, F. D., & Masakazu, S. (2020). Financial inclusion, economic growth, and poverty alleviation: evidence from eastern Indonesia. Heliyon, 6(10), e05235. https://doi.org/10.1016/j.heliyon.2020.e05235

Fahlevi, M. (2019). The Influence of Exchange Rate, Interest Rate and Inflation on Stock Price of LQ45 Index in Indonesia. 343(Icas), 157–163. https://doi.org/10.2991/icas-19.2019.34

Feng, G. F., Yang, H. C., Gong, Q., & Chang, C. P. (2021). What is the exchange rate volatility response to COVID-19 and government interventions? Economic Analysis and Policy, 69, 705–719. https://doi.org/10.1016/j.eap.2021.01.018

Firmansyah, F., & Oktavilia, S. (2017). The Stock Market and Exchange Rates in Five South Asian Countries. Jurnal Ekonomi Pembangunan: Kajian Masalah Ekonomi Dan Pembangunan, 18(1), 102. https://doi.org/10.23917/jep.v18i1.4293

Goodell, J. W., & Huynh, T. L. D. (2020). Did Congress trade ahead? Considering the reaction of US industries to COVID-19. Finance Research Letters, 36(May), 101578. https://doi.org/10.1016/j.frl.2020.101578

Hersugondo, H., & Laksana, R. D. (2020). The Effect of Crude Oil Price and Macro Economic Variables on Aggregate Stock Index in Emerging Capital Markets Southeast Asia ’ s. International Journal of Environmental Science, 5, 185–191.

Hidayat, F. F., Rotinsulu, T. O., & Mandeij, D. (2021). Analisis Pengaruh Variabel-Variabel Ekonomi Makro Terhadap Indeks Harga Saham Gabungan Di Bursa Efek Indonesia Periode 2016 : Q1-2020 : Q4. Jurnal Berkala Ilmiah Efisiensi, 21(06), 92–101.

Imran, Z. A., Ejaz, A., Spulbar, C., Birau, R., & Nethravathi, P. S. R. (2020). Measuring the impact of governance quality on stock market performance in developed countries. Economic Research-Ekonomska Istrazivanja , 33(1), 3406–3426. https://doi.org/10.1080/1331677X.2020.1774789

Ishikawa, K. (2021). The ASEAN Economic Community and ASEAN economic integration. Journal of Contemporary East Asia Studies, 10(1), 24–41. https://doi.org/10.1080/24761028.2021.1891702

John, E. I. (2019). Effect of Macroeconomic Variables on Stock Market Performance in Nigeria. Journal of Economics, Management and Trade, April, 1–14. https://doi.org/10.9734/jemt/2019/v22i630110

Lenza, M., & Primiceri, G. E. (2020). How To Estimate a VAR After March 2020. NBER WORKING PAPER SERIES HOW, 1–23.

Maneejuk, P., & Yamaka, W. (2021). The impact of higher education on economic growth in asean-5 countries. Sustainability (Switzerland), 13(2), 1–28. https://doi.org/10.3390/su13020520

Marome, W., & Shaw, R. (2021). COVID-19 response in Thailand and its implications on future preparedness. International Journal of Environmental Research and Public Health, 18(3), 1–11. https://doi.org/10.3390/ijerph18031089

McCALLUM, B. T. (1983). A Reconsideration of Sims’ Evidence Monetarism. Economics Letters, 13, 167–171.

Mizan, M. Z., Lada, S., Hamzah, A. A., Noor, N. A. M., Razali, K., Esam, A., & Nordin, M. N. (2021). Movement Control Order (MCO): An Syar’iyyah Political Approach. Review of International Geographical Education Online, 11(7), 1225–1230. https://doi.org/10.48047/rigeo.11.07.114

Mulyadi, M. (2020). Effect of Exchange Rate and Global Index in Five Countries Against CSPI. Journal of Accounting and Finance Management, 1(1), 44–58. https://doi.org/10.38035/jafm.v1i1.11

Olivia, S., Gibson, J., & Nasrudin, R. (2020). Indonesia in the Time of Covid-19. Bulletin of Indonesian Economic Studies, 56(2), 143–174. https://doi.org/10.1080/00074918.2020.1798581

Pan, L., & Mishra, V. (2018). Stock market development and economic growth: Empirical evidence from China. Economic Modelling, 68(July 2016), 661–673. https://doi.org/10.1016/j.econmod.2017.07.005

Paramati, S. R., Zakari, A., Jalle, M., Kale, S., & Begari, P. (2018). The dynamic impact of bilateral trade linkages on stock market correlations of Australia and China. Applied Economics Letters, 25(3), 141–145. https://doi.org/10.1080/13504851.2017.1305067

Rahman, M. M., Guotai, C., Das Gupta, A., Hossain, M., & Abedin, M. Z. (2022). Impact of early COVID-19 pandemic on the US and European stock markets and volatility forecasting. Economic Research-Ekonomska Istrazivanja , 35(1), 3591–3608. https://doi.org/10.1080/1331677X.2021.1997626

Rujirarangsan, K., & Chancharat, S. (2019). The Impact of Coup d’états on the Relationship between Stock Market and Exchange Rate: Evidence from Thailand. Academic Journal of Interdisciplinary Studies, 8(3), 113–122. https://doi.org/10.36941/ajis-2019-0010

Saleem, H., Shabbir, M. S., & Bilal khan, M. (2020). The short-run and long-run dynamics among FDI, trade openness and economic growth: using a bootstrap ARDL test for co-integration in selected South Asian countries. South Asian Journal of Business Studies, 9(2), 279–295. https://doi.org/10.1108/SAJBS-07-2019-0124

Siregar, E. I., & . D. (2019). The Impact of Political Risk and Macro Economics on Stock Return at Indonesia Stock Exchange (An Approach of Arbritage Pricing Theory (APT)). KnE Social Sciences, 744–772. https://doi.org/10.18502/kss.v3i26.5412

Stefhani, Y. (2020). Reaksi Pasar Modal Indonesia Terhadap Peristiwa Politik. Jurnal Manajemen, 4(2), 1–12. https://doi.org/10.54964/manajemen.v4i2.129

Thakolsri, S. (2021). Modeling the relationships among gold price, oil price, foreign exchange, and the stock market index in Thailand. Investment Management and Financial Innovations, 18(2), 261–272. https://doi.org/10.21511/imfi.18(2).2021.21

Wahyudi, S., Hersugondo, H., Laksana, R. D., & Rudy, R. (2017). International Journal of Economics and Financial Issues Macroeconomic Fundamental and Stock Price Index in Southeast Asia Countries: A Comparative Study. International Journal of Economics and Financial Issues, 7(2), 182–187. http:www.econjournals.com

Yang, F. (2019). The impact of financial development on economic growth in middle-income countries. Journal of International Financial Markets, Institutions and Money, 59(July 2017), 74–89. https://doi.org/10.1016/j.intfin.2018.11.008

Yuen, S., Cheng, E. W., Or, N. H. K., Grépin, K. A., Fu, K. W., Yung, K. C., & Yue, R. P. H. (2021). A tale of two city-states: A comparison of the state-led vs civil society-led responses to COVID-19 in Singapore and Hong Kong. Global Public Health, 16(8–9), 1283–1303. https://doi.org/10.1080/17441692.2021.1877769

Zulhelmy, & Hidayat. (2020). The Impact of Covid- 19 to Capitalism Economic System : An Islamic Economic and Financial Perspective. Jurnal Kajian Peradaban Islam, 3(2), 40-44




DOI: https://doi.org/10.26905/jkdp.v27i1.9715

Refbacks

  • There are currently no refbacks.


Bookmark and Share


Jurnal Keuangan dan Perbankan (Journal of Finance and Banking)

Diploma Program of Banking and Finance, Faculty of Economics and Business, University of Merdeka Malang

Published by University of Merdeka Malang

Mailing Address:
2nd floor Finance and Banking Building, Jl. Terusan Raya Dieng No. 57 Malang, East Java, Indonesia
Phone: +62 813-3180-1534
Email: jkp@unmer.ac.id

This work is licensed under a Creative
Commons Attribution-ShareAlike 4.0