THE GRANGER CAUSALITY TESTS FOR THE FIVE ASEAN COUNTRIES STOCK MARKETS AND MACROECONOMIC VARIABLES DURING AND POST THE 1997 ASIAN FINANCIAL CRISIS

• Main Author: Adwin Surja Atmadja
• Format: Article
• Language: English
• Published: Petra Christian University 2005-01-01
• Series: Jurnal Manajemen dan Wirausaha
• Subjects: Granger-causality; Asian financial crisis; stock markets; macroeconomic variable; VAR.
• Online Access: http://puslit2.petra.ac.id/ejournal/index.php/man/article/view/16137

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. Abstract in Bahasa Indonesia : Makalah ini mencoba untuk menganalisis keberadaan Granger-causality antara indeks harga saham dan variabel-variabel ekonomi makro di lima negara ASEAN, yaitu Indonesia; Malaysia; Filipina; Singapore; dan Thailand yang berfokus pada periode terjadinya krisis keuangan Asia pada tahun 1997 dan sesudahnya. Dengan mempergunakan data time series bulanan dari setiap negara tersebut, tes Granger-causality yang didasarkan pada kerangka analisa VAR (vector autoregressive) diaplikasikan untuk mengungkap secara empiris hubungan kausal antar variabel. Dari hasil tes diketahui bahwa hanya terdapat sejumlah kecil Granger-causality antara indeks harga saham dan variabel-variabel ekonomi makro. Hal ini mengindikasikan sangat lemahnya kaitan antara pergerakan indeks harga saham di dalam negeri dengan variabel-variabel ekonomi makro dikarenakan bahwa pasar modal di negara-negara ASEAN relatif tidak mampu secara efisien menangkap informasi perubahan besaran-besaran ekonomi makro domestik. Dan, bahwa pengaruh dari variabel-variabel ekonomi makro tertentu dalam perekonomian domestik ternyata berbeda di tiap negara. Hal tersebut mengimplikasikan bahwa bursa saham ASEAN nampaknya tidak berperan penting dalam perekonomian domestik, dan bahwa variabel-variabel ekonomi makro negara-negara tersebut nampaknya tidak dapat dipakai sebagai indikator yang baik untuk memprediksikan bukan saja terhadap perilaku variabel-variabel ekonomi makro lainnya, tetapi juga perilaku indeks harga saham di masa yang akan datang. Kata kunci: Granger-causality, krisis keuangan Asia, bursa saham, variable ekonomi makro, VAR.