The Granger Causality Tests for the Five ASEAN Countries’ Stock Markets and Macroeconomic Variables During and Post the 1997 Asian Financial Crisis  

Oleh:

Atmadja, Adwin Surja

Jenis: Article from Journal - ilmiah nasional - tidak terakreditasi DIKTI
Dalam koleksi: Jurnal Manajemen dan Kewirausahaan vol. 7 no. 1 (Mar. 2005), page 1- 21.
Topik: Granger-causality; Asian financial crisis; stock markets; macroeconomic variable; VAR; Granger-causality; krisis keuangan Asia; bursa saham; variable ekonomi makro; VAR
Fulltext: MAN05070101.pdf (221.32KB)

Isi artikel

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.

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