Liên kết nhân quả bất đối xứng giữa các thị trường chứng khoán ASEAN-6
DOI:
https://doi.org/10.24311/jabes/2019.30.1.2Keywords:
Hội nhập tài chính, Asymmetry, Causal Linkage, Financial IntegrationAbstract
This paper analyzes the presence of financial market integration among six selected ASEAN stock markets (Indonesia, Malaysia, Philippines, Singapore, Thailand, and Vietnam) through Hatemi-J asymmetric causality test. The standard symmetric causality test results suggest 10 causal linkages among the aforementioned markets. Malaysia stock market is Granger-caused by all the other ASEAN-6 markets. On the other hand, asymmetric causality test results reveal the existence of two bidirectional causalities running between Singapore and Vietnam in bull regime, Malaysia and Indonesia in bear regime. Moreover, asymmetric causality tests also suggest the dominant role played by the Singapore market in bull regime.
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