Constructing Stock Market Performance Index for ASEAN 5 Countries: Principal Component Analysis Approach
DOI:
https://doi.org/10.33736/uraf.1961.2019Keywords:
stock market, stock market performance indexAbstract
This study develops the stock market performance index (SMPI) for ASEAN-5 countries, which include Indonesia, Malaysia, Thailand, Philippines, and Singapore. Along with that, principal component analysis is applied in developing the index. Annual data of ASEAN-5 countries ranging from the year 2000-2016 has been used for the purpose of analysis. The sources of data are the World Bank Database and Datastream. The results indicate that Singapore has the highest SMPI over the sample period, while Indonesia has the lowest SMPI over the sample period 2000 to 2016.
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