DISCUSSION, CONCLUSION AND IMPLICATIONS
5.1 Summary of Statistical Analysis
5.1.2 Summary of Major Findings
5.1.2.1 FTSE Bursa Malaysia (KLSE)
Table 47: Summary of Major Findings (KLSE) Dependen
t variable
Independen t Variable
Ordinary Least Square
Unit Root Test
Granger Causality
Test
Impulse Response
Function Log(KLSE
) Log(CPI)
Significan t at 1%
(negative)
Stationar y
Significan t at 1%
Negative shock Log(KLSE
) Log(ER)
Significan t at 1%
(negative)
Stationar y
Not Significan
t
Negative shock Log(KLSE
) Log(GDP)
Significan t at 1%
(negative)
Stationar y
Not Significan
t
Positive shock Log(KLSE
) Log(IR)
Significan t at 1%
(positive)
Stationar y
Not Significan
t
Negative shock Log(KLSE
) Log(M1)
Significan t at 1%
(positive)
Stationar y
Significan t at 5%
Positive shock
Table 47 presents the relationship of the selected macroeconomic variables and FTSE Bursa Malaysia (KLSE). Interest rate (IR) and money supply (M1) are having positive relationship with KLCI. On
Gross Domestic Product (GDP) have a negative relationship with KLCI and all these variables are significant at 1%.
All variables are stationary and do not contain unit root.
In terms of short run relationship, Consumer Price Index (CPI) and money supply (M1) are having short run relationship with KLSEat significance level of 1% and 5% respectively. However, exchange rate (ER), Gross Domestic Product (GDP) and interest rate (IR) are showing no relationship with FTSE Bursa Malaysia (KLSE) in short run.
For Impulse Response Function, Consumer Price Index (CPI), exchange rate (ER) and interest rate (IR) are having negative shock towards KLSE, however, Gross Domestic Product (GDP) and money supply (M1) are having positive shocks towards KLSE.
5.1.2.2 The Stock Exchange of Thailand (SET)
Table 48: Summary of Major Findings (SET)
Depende nt variable
Independe nt Variable
Ordinar y Least Square
Unit Root Test
Granger Causalit y Test
Impulse Response
Function
Log(SET
) Log(CPI)
Significa nt at
5%
(negative )
Stationa ry
Significa nt at
5%
Negative shock
Log(SET Log(ER) Not Stationa Not Positive
)
Significa nt (negative
)
ry Significa
nt shock
Log(SET
) Log(GDP)
Not Significa
nt (positive
)
Stationa ry
Significa nt at
1%
Positive shock
Log(SET
) Log(IR)
Not Significa
nt (positive
)
Stationa ry
Significa nt at
5%
Negative shock
Log(SET
) Log(M1)
Significa nt at
1%
(positive )
Stationa ry
Significa nt at 10%
Positive shock
Table 48 presents the relationship of the selected macroeconomic variables and The Stock Exchange of Thailand (SET). Gross Domestic Product (GDP), Interest rate (IR) and money supply (M1) are having positive relationship with SET, however, the relationship of exchange rate (ER) and interest rate (IR) with SET is not significant. On the other hand, Consumer Price Index (CPI) and exchange rate (ER) are having negative relationship with SET.
All variables are stationary and do not contain unit root.
In terms of short run relationship, all variables have short run relationship with The Stock Exchange of Thailand (SET) except for exchange rate (ER).
For Impulse Response Function, Consumer Price Index (CPI) and
exchange rate (ER), Gross Domestic Product (GDP) and money supply (M1) are having positive shocks towards SET.
5.1.2.3 Indonesia Stock Exchange (Bursa Efek Indonesia, IDX)
Table 49: Summary of Major Findings (IDX)
Depende nt variable
Independe nt Variable
Ordinar y Least Square
Unit Root Test
Granger Causality
Test
Impulse Respons
e Function
Log(IDX) Log(CPI)
Not Significa
nt (positive)
Stationar y
Not Significa
nt
Positive shock
Log(IDX) Log(ER)
Significa nt at
1%
(negative)
Stationar y
Not Significa
nt
Positive shock
Log(IDX) Log(GDP)
Not Significa
nt (positive)
Stationar y
Significa nt at
5%
Positive shock
Log(IDX) Log(IR)
Significa nt at
1%
(negative)
Stationar y
Not Significa
nt
Negative shock
Log(IDX) Log(M1)
Not Significa
nt (positive)
Stationar y
Not Significa
nt
Negative shock
Table 49 presents the relationship of the selected macroeconomic variables and Indonesia Stock Exchange (Bursa Efek Indonesia, IDX).
Consumer Price Index (CPI), Gross Domestic Product (GDP) and
money supply (M1) are having positive relationship with IDX, however, all of the relationships are not significant. On the other hand, and exchange rate (ER) and interest rate (IR) have a negative relationship with IDX with the significance level of 1%.
All variables are stationary and do not contain unit root.
In terms of short run relationship, all variables do not have short run relationship with IDX except for Gross Domestic Product (GDP).
For Impulse Response Function, Consumer Price Index (CPI), exchange rate (ER) and Gross Domestic Product (GDP) are having positive shock towards IDX, however, interest rate (IR), and money supply (M1) are having negative shocks towards IDX.
5.1.2.4 The Philippine Stock Exchange (PSE)
Table 50: Summary of Major Findings (PSE) Dependen
t variable
Independen t Variable
Ordinary Least Square
Unit Root Test
Granger Causality
Test
Impulse Response
Function
Log(PSE) Log(CPI)
Significan t at 1%
(negative)
Stationar y
Not Significan
t
Negative shock
Log(PSE) Log(ER)
Significan t at 1%
(negative)
Stationar y
Not Significan
t
Positive shock
t at 1%
(positive)
y Significan
t shock
Log(PSE) Log(IR)
Not Significan
t (positive)
Stationar y
Not Significan
t
Negative shock
Log(PSE) Log(M1)
Not Significan
t (negative)
Stationar y
Not Significan
t
Positive shock
Table 50 presents the relationship of the selected macroeconomic variables and The Philippine Stock Exchange (PSE). Gross Domestic Product (GDP) and interest rate (IR) are having positive relationship with PSE. On the other hand, Consumer Price Index (CPI), exchange rate (ER) and money supply (M1) have a negative relationship with PSE.
All variables are stationary and do not contain unit root.
In terms of short run relationship, all variables do not have short run relationship with The Philippine Stock Exchange (PSE).
For Impulse Response Function, exchange rate (ER) and money supply (M1) are having positive shock towards PSE. However, Consumer Price Index (CPI), Gross Domestic Product (GDP) and interest rate (IR) are having negative shocks towards PSE.