An Econometric Analysis between Commodities and Financial Variables: The Case of Southeast Asia Countries
Norasyikin Abdullah Fahami, Sharazad Haris, Hasyeilla Abdul Mutalib

Abstract
This paper provides econometric analysis on the relationship between commodities (crude oil and gold) and two commodity-relevant financial variables (exchange rate and the equity index). The case study involves Southeast Asia countries which is Malaysia, Thailand and Indonesia. In this paper, world oil and gold prices are utilized, while exchange rates refer to national currency against U.S. Dollar. The leading stock index of each country is used as a proxy for the stock market. For that reason, FBM KLCI of Malaysia, IDX Composite of Indonesia and SET Index of Thailand (SET Index) are analyzed. The result confirms that there are dynamic correlations between commodities and financial variables among Southeast Asia countries. This paper also reveals the existence of feedback relationship for stock index and exchange rate nexus. Thus, the implementation of the stock and exchange rate policies should be carefully executed as both markets impact each other.

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