This study was conducted on the basis that there is an inconsistency in the study results on the effects of world oil price change on stock market return. This study, therefore, examined the effects of world oil price changes on the stock market returns in Southeast Asia including Indonesia...

ARCH modelling framework of Engle (1982) and its GARCH generalization of Bollerslev (1986) gave a huge impetus to econometric model building in the field of financial time series with time-varying variance. The main idea of the models was to describe the most typical features of capital markets...