Objective - The objective of the study is to empirically investigate the relationship between macroeconomic variables as Gross Domestic Product (GDP), inflation, interest rates, exchange rates, foreign exchange reserves, current accounts and export-import towards the stock price index.

Methodology/Technique - The data used is monthly data for macroeconomic and the stock price index of five ASEAN countries including Indonesia, Malaysia, Singapore, Thailand and the Philippines from 2006 to 2015. The analysis uses a regression estimation of panel data and a series of chow tests i.e. the Hausman test and the LM test as the selection process, with the aim of determining the macroeconomic variables that could significantly affect the stock price index of five ASEAN countries.

Findings - The result show that of the seven macroeconomic variables affecting the stock price index, only four macroeconomic variables showed a significant effect. These are GDP, interest rates, exchange rates, and inflation. Meanwhile, three other variables (foreign exchange reserves, current accounts and export-import) did not show a significant effect.

Novelty - The study looked at the effect of deregulation on stock markets, focusing on variables that significantly influence the stock price index.

Type of Paper - Empirical

Keywords: Stock Price Index; Macro Economics; Five ASEAN Countries.