Global crisis and Financial destabilization in ASEAN countries. A microstructural perspective

Céline Gimet and Thomas Lagoarde-Segot

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Abstract: This paper investigates wether the ongoing financial crisis has destabilized the microstructures of ASEAN stock market. Using daily stock market data from 2007 to 2010, we first develop a set of monthly country-level liquidity, efficiency, international integration and volatility indicators. We then analyze the impact of global market volatility shocks on those indicators, using a set of Bayesian S-VAR models. Finally, forecast error variance decomposition analysis and impulse response function permits to identify the magnitude and the symmetry of ASEAN financial systems' exposures to international shocks. Our results uncover significant and asymmetrical schock transmission channels. We draw implications for the design of future integration initiatives.

Keywords: microstructures; regional integration; schock vulnerability; SVAR (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-fmk
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00560218v2
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Published in 2011

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Related works:
Working Paper: Global crisis and Financial destabilization in ASEAN countries. A microstructural perspective (2011)
Working Paper: Global crisis and financial destabilization in the Asean countries. A microstructural perspective (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00560218

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