The Granger Causality Tests for the Five ASEAN Countries’ Stock Markets and Macroeconomic Variables During and Post the 1997 Asian Financial Crisis
ABSTRACT: This study seeks to
examine the existence of Granger-causality among stock prices indices and macroeconomic
variables in five ASEAN countries, Indonesia; Malaysia; the Philippines;
Singapore; and Thailand with particular attention to the 1997 Asian financial
crisis and period onwards. Using monthly time series data of the countries, a
Granger-causality test based on the vector autoregressive (VAR) analytical
framework was employed to empirically reveal the causality among the variables.
This research finds that there were few Granger causalities found between the
country’s wtock price index and macroeconomic variables. This indicates that
the linkages between domestic stock
price movements and macroeconomic factors were very. Due to that, the ASEAN
stock markets were crelatively unable to efficiently capture changes in
economic fundamentals during the observation period in most of the countries in
accordance to the literature in emerging stock markets, and that the influence
of specific macroeconomic factors on the domestic economies differ across countries.
This also implies that the stock markets do not seem to have played a significant
role in most countries’ economies, and macroeconomic variables are unlikely to
be appropriate indicators to predict not only the future behaviour of other macroeconomic
variables, but also that of the stock market price indices.
Author: Adwin Surja Atmadja
Journal Code: jpmanajemengg050001
