Title: THE EFFECT OF CHANGES IN WORLD OIL PRICES ON MARKET RETURNS IN ASEAN COUNTRIES CASE STUDY IN 2010-2017

Authors: RANA AYU AZIZAH

Item Type : Thesis (Thesis)

Affiliations: Master of Management Science Study Program, Faculty of Economics and Business, Universitas Airlangga , Surabaya, Indonesia

Publisher: Universitas Airlangga

Abstract

Oil is a tangible resource and input in production across many industries, implying that future oil prices impact expected cash flows. Regarding the effect on specific stocks, depending on whether the company is a net producer or a net consumer of oil, an increase in oil prices will result in higher revenues for producers and lower revenues for consumers. The method used in this study is multiple linear regression with macroeconomic control variables (inflation, exchange rate against the dollar, interest rates, the S&P 500 index and the Nikkei index) using SPSS software to examine its effect on stock returns in ASEAN countries (Indonesia, Malaysia, Singapore, Thailand, the Philippines, and Vietnam). The results of this study indicate that changes in oil prices have a positive but insignificant effect on the composite index in ASEAN countries, both overall and in oil-consuming and oil-producing countries. The exchange rate variable against the dollar shows a negative and significant result, while the S&P 500 index shows a positive and significant effect.

Keywords: Oil price changes, macroeconomics, market returns, developing countries.

Sources: http://repository.unair.ac.id/76827/