The Spillovers from US Stock Market to ASEAN Markets Before and During COVID-19: Granger Causality in the Frequency Domain
Keywords:
Frequency Domain Granger causality test, US stock market spillover, ASEAN stock markets, COVID-19.Abstract
We investigate the spillovers from the US stock market to ASEAN stock markets before and during the COVID-19 pandemic. Our aim is to answer the question of whether any shock to the returns from the US stock market spills over to those from the ASEAN stock markets. We use daily data for the period from 4 January 2017 to 27 December 2021 for the Granger causality in the frequency domain. Our empirical results indicate that a shock to the returns the US stock market spills over to ASEAN stock markets both before and during COVID-19. This finding makes a potentially significant contribution to investors and regulators in the terms of risk management and hedging strategies.
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