THE IMPACT OF OIL PRICE ON INVESTMENT IN ASEAN STOCK MARKETS

Abstract

This study investigates the impact of oil price on the stock exchange in ASEAN countries which consists of five main ASEAN markets; including Thailand, Singapore, Malaysia, Indonesia and the Philippines. We used the time series data from 2014 to 2015 in the recent oil price decline. The results from simple regression show that oil price has influence on the returns of all markets. Moreover, the results from quantile regression reveal that oil price is an important role in all markets. The results of both methods indicate that oil price has the highest impact on Malaysian market and positive relationship in all markets. The evidences from the dependence between oil price and ASEAN stock markets suggested that fund managers should focus on portfolio investment in downturn periods as it may get the negative returns on both markets.