INVESTIGATING THE RELATIONSHIPS BETWEEN ASEAN STOCK MARKETS: AN APPROACH USING THE GRANGER CAUSALITY TEST OF TIME-VARYING INFORMATION EFFICIENCY
Keywords:ASEAN stock markets, Efficient market hypothesis, Granger causality test, Rolling window method, Shannon entropy.
The information efficiency and the relationships between ASEAN stock markets are two of the issues that are of great research interest. However, these two issues were often investigated separately in previous studies. Therefore, this paper combines these two issues in the same analysis. Data on the daily closing index of six ASEAN stock markets, including Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam are used to calculate Shannon entropy to measure the stock market information efficiency. In addition, this paper conducts the Granger causality test to reveal the relationships between the ASEAN stock markets. The results show that all six stock markets are not in the state of information efficiency, which means the stock indices, stock returns, and volatility are not purely random, but patterned. In addition, the Granger test results show that the ASEAN stock markets are logically correlated. The two markets that are more integrated than the others are Indonesia and Malaysia. Vietnam participates in regional economics in a passive way, while the Philippines is more proactive. The Singapore stock market is also less integrated with the other ASEAN markets, although it is a mature stock market that outperforms the rest.
Gabriella, L. G., Suryanarayana, R., & Esady, V. (2016). Financial integration in ASEAN-5. Economics and Finance in Indonesia, 62(1), 44-58.
Jianga, Y., Niea, H., & Monginsidi, J. Y. (2017). Co-movement of ASEAN stock markets: New evidence from wavelet and VMD-based copula tests. Economic Modelling, 64, 384-398.
Fama, E. F. (1965). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417.
Lahmiri, S., Bekiros, S., & Avdoulas, C. (2018). Time-dependent complexity measurement of causality in international equity markets: A spatial approach. Chaos, Solitons, & Fractals, 116, 215-219.
Mensi, W. (2012). Ranking efficiency for twenty-six emerging stock markets and financial crisis: Evidence from the Shannon entropy approach. International Journal of Management Science and Engineering Management, 7(1), 53-63.
Risso, W. A. (2009). The informational efficiency: The emerging markets versus the developed markets. Applied Economics Letters, 16(5), 485-487.
Shannon, C. E. (1948). A mathematical theory of communication. The Bell System Technical Journal, 27(3), 379-423.
Tran, T. T. A. (2018a). Đo lường mức độ hiệu quả thông tin trên thị trường chứng khoán các nước Đông Nam Á bằng Shannon entropy. Tạp chí Kinh tế và Phát triển, (252), 22-29.
Tran, T. T. A. (2018b). Đo lường tính hiệu quả của thị trường chứng khoán Việt Nam bằng Shannon entropy và mối liên hệ với khả năng sụt giảm của chỉ số thị trường. Tạp chí Công nghệ Ngân hàng, (151), 7-17.
Tran, T. T. A. (2019). Đo lường độ phức tạp trong chuỗi thời gian của các cổ phiếu trong danh mục VN30: Tiếp cận bằng entropy hoán vị. Tạp chí Khoa học Đại học Mở TP. Hồ Chí Minh, 14(1), 18-28.
Zunino, L., Massimiliano, Z., Tabak, B. M., Pérez, D. G., & Rosso, O. A. (2009). Forbidden patterns, permutation entropy, and stock market inefficiency. Physica A, 388, 2854-2864.
Volume and Issues
Copyright & License
Copyright (c) 2020 Trần Thị Tuấn Anh.
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.