| This research discusses the effect of macroeconomic variables to stock price in Asia during period 1997:M3 – 2012:M3. The research was conducted to find out what variables give more affect to stock price so as to take the right decision in investing in stock market. The model used in this research is Error Correction Model Approachment that proceed with Augmented Dickey-Fuller stasionarity test and followed by Engle – Granger Cointegration test. The research also included world economic crisis as a dummy variable to see the effect of world economic stability in intercept dummy form with period 1997:M7 – 1998:M6 and 2007:M8 – 2009:M2. The estimation indicates that world commodity price, which is the oil price is a variable that can effect stock price (composite index) in all countries, both with or without the dummy but does not produces stable models. |