Title: EFFECT OF CHANGES IN WORLD OIL PRICES ON MARKET RETURNS IN ASEAN COUNTRIES CASE STUDY IN 2010-2017
Author: 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 material in production in many industries, implying that future oil prices impact expected cash flows. Regarding the effect on a particular stock, depending on whether the company is a net producer or net consumer of oil, an increase in oil prices will result in higher income for producers and a decrease in income for consumers. The method used in this research is multiple linear regression with macroeconomic control variables (inflation, exchange rate against the dollar, interest rates, S&P 500 index and Nikkei index) using SPSS software to see the effect on stock returns in ASEAN (Indonesia, Malaysia , Singapore, Thailand, Philippines and Vietnam). The results of this research show that changes in oil prices have a positive and insignificant effect on the composite index in ASEAN countries, both as a whole and in petroleum consuming countries and petroleum producing countries. The exchange rate variable against the dollar shows negative and significant results and the S&P 500 index shows a positive and significant effect.
Keywords: Changes in oil prices, macroeconomics, market returns, developing countries.
Sources: http://repository.unair.ac.id/76827/
