Causality Test between Exchange Rate, Inflation Rate and Stock Price Index in Southeast Asia

This paper examines the causality relationship between stock price index, exchange rate and inflation. The sample is gathered from monthly report for the period of 2012-2015 published in Southeast Asia consisting of Lao PDR, Malaysia, Indonesia, Singapore and Thailand. Hypothesis is found that all of the variables identified have a causality relationship. Research proves that the Southeast Asian countries should monitor each others' Economic condition continuously since a change in a country’s indicator can relate and has the impact on the other country. However, the relationship strength is moderate and weak. So the research must be updated every year since it is valid for short term or maximum for one year.