Investigating the relationships between asean stock markets: An approach using the granger causality test of time-varying information efficiency

This paper combines these two issues in the same analysis. Data on the daily closing index of six ASEAN stock markets, including Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam are used to calculate Shannon entropy to measure the stock market information efficiency. In addition, this paper conducts the Granger causality test to reveal the relationships between the ASEAN stock markets. The results show that all six stock markets are not in the state of information efficiency, which means the stock indices, stock returns, and volatility are not purely random, but patterned.