Price transmissions among ASEAN-6 forex markets
Main Article Content
Abstract
This study aims to analyze price spillover effects between the foreign exchange markets of the ASEAN-6 countries (Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam) using data from January 1, 2018, to February 13, 2023. By doing so, we use the Spillover Index developed by Diebold and Yilmaz (2014) to analyze price spillovers and the Granger causality test introduced by Breiting and Candelon (2006) to explore the bidirectional causality between the foreign exchange market in the short-, medium-, and long-term. The results show that there has been price spillover among ASEAN-6 foreign exchange markets over time. The total connectedness index of these markets reached 21.7%, with Indonesia, Malaysia, the Philippines, and Singapore being “transmitters”, and Thailand, Vietnam being “receivers”. In addition, there exists a bidirectional causality between the foreign exchange markets in different frequency domains. This result has significant implications for investors and policymakers for stabilizing the markets under consideration.
Article Details
Keywords
ASEAN, Foreign exchange markets, Granger causality, Spillover Index
References
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