Asian Research Thesis Index

Abstract

The present research tries to examine the impact of macroeconomic indicators and their fluctuation on the      
   Asian emerging stock prices. Over the last three decades these variables affect the stock prices of emerging      
   stock markets. The Asian emerging stock markets are most attractive, active and fast growing stock markets in      
   all over the world and these stock markets played an important role for the economic growth of Asian countries.      
   The Asian emerging stock markets consists of eight Southeast Asian countries named as Shanghai stock      
   exchange (China), Bombay stock exchange (India), Bursa Malaysia stock exchange (Malaysia), Korea stock      
   exchange (Korea), Taiwan stock exchange (Taiwan), Jakarta stock exchange (Indonesia), Philippines stock      
   exchange (Philippines) and stock exchange of Thailand (Thailand).      
   To examine the macroeconomic impact this study used six macroeconomic variables i.e. inflation rate, interest      
   rate, exchange rate, crude oil prices, money supply 2 and foreign exchange reserves and for analysis used      
   twenty three semiannually panel time series data for the periods of 1992 to 2014. In this study various      
   statistical techniques applied for analysis like descriptive statistics, Hausman test, fixed effects model and      
   ARCH-GARCH technique. Basically descriptive statistics performed for temporal properties of data and results      
   showed that the data are not normally distributed. While the findings of fixed effect models showed that all the      
   six macroeconomic variables have significantly positive impact but interest• rate and exchange rate these two      
   have negative impact on the eight Asian emerging stock prices.      
   The last findings of ARCH-GARCH test indicate that the exchange rate and interest rate negatively affect the      
   stock prices of most of the stock markets. The foreign exchange reserves have greater impact but positively      
   affects the stock prices of most of the countries stock market. While the implication is that the local and foreign      
   investors should to thoughtfully judge the macroeconomic forces to make rational investment decisions. The      
   government and the policy maker should keep in mind the effect of these macroeconomic variables during a      
   monetary policy construction process. It is also useful for investors to determine either by these six      
   macroeconomic variables the risk is diversified in these eight Asian emerging stock markets.      
 The present research tries to examine the impact of macroeconomic indicators and their fluctuation on the
Asian emerging stock prices. Over the last three decades these variables affect the stock prices of emerging
stock markets. The Asian emerging stock markets are most attractive, active and fast growing stock markets in
all over the world and these stock markets played an important role for the economic growth of Asian countries.
The Asian emerging stock markets consists of eight Southeast Asian countries named as Shanghai stock
exchange (China), Bombay stock exchange (India), Bursa Malaysia stock exchange (Malaysia), Korea stock
exchange (Korea), Taiwan stock exchange (Taiwan), Jakarta stock exchange (Indonesia), Philippines stock
exchange (Philippines) and stock exchange of Thailand (Thailand).
To examine the macroeconomic impact this study used six macroeconomic variables i.e. inflation rate, interest
rate, exchange rate, crude oil prices, money supply 2 and foreign exchange reserves and for analysis used
twenty three semiannually panel time series data for the periods of 1992 to 2014. In this study various
statistical techniques applied for analysis like descriptive statistics, Hausman test, fixed effects model and
ARCH-GARCH technique. Basically descriptive statistics performed for temporal properties of data and results
showed that the data are not normally distributed. While the findings of fixed effect models showed that all the
six macroeconomic variables have significantly positive impact but interest• rate and exchange rate these two
have negative impact on the eight Asian emerging stock prices.
The last findings of ARCH-GARCH test indicate that the exchange rate and interest rate negatively affect the
stock prices of most of the stock markets. The foreign exchange reserves have greater impact but positively
affects the stock prices of most of the countries stock market. While the implication is that the local and foreign
investors should to thoughtfully judge the macroeconomic forces to make rational investment decisions. The
government and the policy maker should keep in mind the effect of these macroeconomic variables during a
monetary policy construction process. It is also useful for investors to determine either by these six
macroeconomic variables the risk is diversified in these eight Asian emerging stock markets.

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