The Impact of U.S. Economy and Monetary Policy on ASEAN-5 Stock Market Performance

Teh, Yee Ching (2026) The Impact of U.S. Economy and Monetary Policy on ASEAN-5 Stock Market Performance. Masters thesis, Tunku Abdul Rahman University of Management and Technology.

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Abstract

This study examines the impact of the U.S. economy and U.S. monetary policy on the stock market performance of ASEAN-5 which includes Malaysia, Singapore, Thailand, the Philippines, and Indonesia. This study aims to assess the impact of the U.S. economy and U.S. monetary policy on the stock market performance within the ASEAN-5, using semi-annual data spanning from 2005 to 2023. Additionally, the study compares these effects across the ASEAN-5 and identifies other determinants influencing stock performance beyond U.S. macroeconomic variables. Utilising a range of statistical methods, including panel ARDL and ARDL approaches, the findings reveal that U.S. economic growth and U.S. monetary policy exert significant long-run effects on the ASEAN-5 stock markets as a whole. In contrast, the ASEAN-5’s real effective exchange rate (REER) and U.S. international trade do not exhibit significant long-run effects. However, in the short run, all four variables demonstrate statistically significant impacts, underscoring their relevance in shaping short-term market dynamics. At the individual country level, the results differ, with variations observed in both the long- and short-run relationships. The study highlights the interplay between U.S. economic indicators and the regional stock markets of the ASEAN-5, providing a basis for further research into how both domestic and international economic factors influence financial markets in emerging economies.