Although spatio-temporal graph neural networks have achieved great empirical success in handling multiple correlated time series, they may be impractical in some real-world scenarios due to a lack of sufficient high-quality training data. Furthermore, spatio-temporal graph neural networks lack theoretical interpretation. To address these issues, we put forth a novel mathematically designed framework to analyze spatio-temporal data. Our proposed spatio-temporal graph scattering transform (ST-GST) extends traditional scattering transform to the spatio-temporal domain. It performs iterative applications of spatio-temporal graph wavelets and nonlinear activation functions, which can be viewed as a forward pass of spatio-temporal graph convolutional networks without training. Since all the filter coefficients in ST-GST are mathematically designed, it is promising for the real-world scenarios with limited training data, and also allows for a theoretical analysis, which shows that the proposed ST-GST is stable to small perturbations of input signals and structures. Finally, our experiments show that i) ST-GST outperforms spatio-temporal graph convolutional networks by an increase of 35% in accuracy for MSR Action3D dataset; ii) it is better and computationally more efficient to design the transform based on separable spatio-temporal graphs than the joint ones; and iii) nonlinearity in ST-GST is critical to empirical performance.