EFFECT OF COMMODITY PRICE INDICES TOWARDS MSCI ALL COUNTRY WORLD INDEX

Karliman, Adrianus Ario Prasetya (2022) EFFECT OF COMMODITY PRICE INDICES TOWARDS MSCI ALL COUNTRY WORLD INDEX. S1 thesis, Universitas Atma Jaya Yogyakarta.

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Abstract

Increasingly interconnected global financial markets provides access for market participants in different countries. Stock market in particular is very important for economic development as providers of capital for companies. Most market participants enter the market to grow or hedge their funds against inflation. The basic principle of investing, particularly in stocks, is to calculate the risk and return of securities by taking into account external variables such as economic trends and global reference sector prices, such as commodities. One of the indicators that investors utilize while investing in the capital market, particularly in equities, is the index. This paper focus on MSCI index, the market capitalization of stock market index of companies worldwide, as the benchmark of stock prices. Also, this study analyzed the effect of commodity price indices, retrieved from IMF database towards MSCI All Country World Index (ACWI) index in the period of 2012-2021. The results of this study showed that precious metals index and energy index has a significant correlation towards MSCI ACWI, while food index does not.

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