The Role of Global and Domestic Macroeconomics on Stock Prices for Sustainable Development Goals

Objective: The objective of this study is to investigate the role of global and domestic macroeconomics on stock prices, with a focus on the dependence of stock price indices on changes in domestic and international macroeconomic factors. Theoretical Framework: This research is based on Efficient Market Hypothesis (EMH), Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT). Method: In this paper, panel data estimation methods such as OLS, FEM, REM, GLS and DGMM, along with tests for selecting the appropriate regression model are used. Results and Discussion: The regression results revealed that domestic macroeconomic factors such as inflation, economic growth, interest rates and exchange rates are statistically significant in influencing the stock price index of Southeast Asian countries. In addition, external macroeconomic factors also play a certain role in the stock price index. Research Implications: To make decisions, investors not only rely on the performance of the company but also need to pay attention to domestic and global economic developments. Policymakers need to monitor both external macroeconomic factors such as global stock indexes to forecast their potential impact on the stock markets of Southeast Asian countries when any changes occur. Originality/Value: This study contributes to the literature with empirical evidence demonstrating the role of domestic and global macroeconomic factors on stock price index.