Liên kết nhân quả bất đối xứng giữa các thị trường chứng khoán ASEAN-6
DOI:
https://doi.org/10.24311/jabes/2019.30.1.2Từ khóa:
Thị trường chứng khoán, Bất đối xứng, Liên kết nhân quả, Hội nhập tài chínhTóm tắt
Nghiên cứu phân tích sự hiện diện của hội nhập thị trường tài chính giữa sáu thị trường chứng khoán ASEAN (Indonesia, Malaysia, Philippines, Singapore, Thái Lan và Việt Nam) thông qua kiểm định nhân quả bất đối xứng Hatemi-J. Kết quả kiểm định nhân quả đối xứng đề xuất 10 mối liên kết nhân quả giữa các thị trường. Thị trường Malaysia chịu tác động nhân quả Granger từ tất cả thị trường khu vực ASEAN-6 còn lại. Mặt khác, kết quả kiểm định nhân quả bất đối xứng phát hiện sự hiện diện của hai mối quan hệ nhân quả hai chiều giữa Singapore và Việt Nam trong trạng thái giá lên, Malaysia và Indonesia trong trạng thái giá xuống. Bên cạnh đó, kiểm định nhân quả bất đối xứng cũng thừa nhận vai trò vượt trội của thị trường Singapore trong trạng thái giá lên.
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