The relationships between ASEAN stock markets: A spectral Granger causality approach

Abstract

This article collects data of ASEAN6’s daily stock returns to investigate the relationships among them by traditional Granger causality test in combination with spectral Granger causality test. Traditional Granger test results show that there exists close relationships among ASEAN6’s stock markets, in which no country is isolated from the others. However, the role of each country in this network is quite different. Vietnam receives Granger effects from all other countries. Philippines has the most intergrated stock market. Spectral Granger causality test also reveals Granger effect in many different frequencies of stock return series. Indonesia is the country that changes role the most between different frequencies, shifting from a country that transmits information at high frequencies to a role of receiving information at low frequencies. Thailand and Singapore play active roles in transmitting information to other markets under all considered frequencies considered while in most cases Vietnam is the receiving country.