The Granger causality is an important criterion for measuring the dynamic relationship among system variables. In this paper, we apply the graphical model method to explore the Granger causal relations among variables. The Granger causality graph is established and its structural identification is investigated based on the conditional mutual information and permutation test. The test statistics is estimated using the correlation integral of chaos theory and its limiting distribution is proved. Finally, the Granger causality among main international stock markets is investigated using the proposed method.