INVESTIGATING THE RELATIONSHIPS BETWEEN ASEAN STOCK MARKETS: AN APPROACH USING THE GRANGER CAUSALITY TEST OF TIME-VARYING INFORMATION EFFICIENCY
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...
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| Format: | Article |
| Language: | English |
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Dalat University
2020-12-01
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| Series: | Tạp chí Khoa học Đại học Đà Lạt |
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| Online Access: | http://tckh.dlu.edu.vn/index.php/tckhdhdl/article/view/614 |
| _version_ | 1826844600423153664 |
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| author | Trần Thị Tuấn Anh |
| author_facet | Trần Thị Tuấn Anh |
| author_sort | Trần Thị Tuấn Anh |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-14T03:38:03Z |
| format | Article |
| id | doaj.art-b86ba7a011234940a648ccbeba432e5a |
| institution | Directory Open Access Journal |
| issn | 0866-787X 0866-787X |
| language | English |
| last_indexed | 2025-02-16T14:09:45Z |
| publishDate | 2020-12-01 |
| publisher | Dalat University |
| record_format | Article |
| series | Tạp chí Khoa học Đại học Đà Lạt |
| spelling | doaj.art-b86ba7a011234940a648ccbeba432e5a2025-02-02T03:22:13ZengDalat UniversityTạp chí Khoa học Đại học Đà Lạt0866-787X0866-787X2020-12-01104435610.37569/DalatUniversity.10.4.614(2020)321INVESTIGATING THE RELATIONSHIPS BETWEEN ASEAN STOCK MARKETS: AN APPROACH USING THE GRANGER CAUSALITY TEST OF TIME-VARYING INFORMATION EFFICIENCYTrần Thị Tuấn Anh0Trường Đại học Kinh tế TP.HCMThe 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.http://tckh.dlu.edu.vn/index.php/tckhdhdl/article/view/614kiểm định nhân quả grangerphương pháp cửa sổ cuộnshannon entropythị trường chứng khoán các nước đông nam áthị trường hiệu quả thông tin. |
| spellingShingle | Trần Thị Tuấn Anh INVESTIGATING THE RELATIONSHIPS BETWEEN ASEAN STOCK MARKETS: AN APPROACH USING THE GRANGER CAUSALITY TEST OF TIME-VARYING INFORMATION EFFICIENCY Tạp chí Khoa học Đại học Đà Lạt kiểm định nhân quả granger phương pháp cửa sổ cuộn shannon entropy thị trường chứng khoán các nước đông nam á thị trường hiệu quả thông tin. |
| title | INVESTIGATING THE RELATIONSHIPS BETWEEN ASEAN STOCK MARKETS: AN APPROACH USING THE GRANGER CAUSALITY TEST OF TIME-VARYING INFORMATION EFFICIENCY |
| title_full | INVESTIGATING THE RELATIONSHIPS BETWEEN ASEAN STOCK MARKETS: AN APPROACH USING THE GRANGER CAUSALITY TEST OF TIME-VARYING INFORMATION EFFICIENCY |
| title_fullStr | INVESTIGATING THE RELATIONSHIPS BETWEEN ASEAN STOCK MARKETS: AN APPROACH USING THE GRANGER CAUSALITY TEST OF TIME-VARYING INFORMATION EFFICIENCY |
| title_full_unstemmed | INVESTIGATING THE RELATIONSHIPS BETWEEN ASEAN STOCK MARKETS: AN APPROACH USING THE GRANGER CAUSALITY TEST OF TIME-VARYING INFORMATION EFFICIENCY |
| title_short | INVESTIGATING THE RELATIONSHIPS BETWEEN ASEAN STOCK MARKETS: AN APPROACH USING THE GRANGER CAUSALITY TEST OF TIME-VARYING INFORMATION EFFICIENCY |
| title_sort | investigating the relationships between asean stock markets an approach using the granger causality test of time varying information efficiency |
| topic | kiểm định nhân quả granger phương pháp cửa sổ cuộn shannon entropy thị trường chứng khoán các nước đông nam á thị trường hiệu quả thông tin. |
| url | http://tckh.dlu.edu.vn/index.php/tckhdhdl/article/view/614 |
| work_keys_str_mv | AT tranthituananh investigatingtherelationshipsbetweenaseanstockmarketsanapproachusingthegrangercausalitytestoftimevaryinginformationefficiency |