FINANCIAL STRESS IN ASEAN-5 ECONOMIES FROM THE ASIAN CRISIS TO THE GLOBAL CRISIS

Boon Hwa Tng (), Kian Teng Kwek and Andrew Sheng ()
Additional contact information
Boon Hwa Tng: Bank Negara Malaysia, Jalan Dato' Onn, 50480 Kuala Lumpur, Malaysia
Andrew Sheng: Faculty of Economics and Administration, Department of Economics, University of Malaya and Graduate School of Economics and Management, Tsinghua University, 50603 Kuala Lumpur, Malaysia

The Singapore Economic Review (SER), 2012, vol. 57, issue 02, 1-24

Abstract: We construct four market-specific Financial Stress Indices (FSIs) and overall FSIs for the ASEAN-5 economies from 1997 to 2009. Using the FSIs, we establish stylized features of financial stress and characterize the connectivity of financial markets. The results show that stress was most severe during the Asian Crisis, followed by the Tech Burst and the recent Global Crisis. Principal component analysis (PCA) demonstrates that regional connectivity is strongest in equity markets, implying their predominant role in the transmission of stress within the region. Meanwhile, Singapore possesses the lowest connectivity within the ASEAN cluster, but the highest to international markets.

Keywords: Financial stress index; financial crisis; financial networks; E51; G01; G32 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0217590812500130
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:serxxx:v:57:y:2012:i:02:n:s0217590812500130

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0217590812500130

Access Statistics for this article

The Singapore Economic Review (SER) is currently edited by Euston Quah

More articles in The Singapore Economic Review (SER) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().