Can investors’ sentiment and inflation influence share market return volatility? An ASEAN perspective

This study analysed the impact of psychological and macroeconomic factors on share market returns its volatility in ASEAN countries. specifically investors’ sentiment inflation analyses by using Consumer Confidence Index Price indices. The data this is based 117 set from four countries over a 10 years period. uses Johansen cointegration test to evaluate long-run cointegrating relationship among investor sentiment, different IHSG, BM, PSEI, SET. tells us that co-integration for SET confirms existence equilibrium Trace Maximum Eigenvalues variables. shows there simultaneous influence both results show significantly movement which constantly drives volatility. findings serve as reference investors other interested parties understanding are influencing Moreover, assists forecasting future prices so they can make right decisions ultimately, would reduce risk loss.