Global Crisis and Financial Destabilization in ASEAN Countries: A Microstructural Perspective

GATE Working Paper No. 1103

32 Pages Posted: 1 Feb 2011

See all articles by Céline Gimet

Céline Gimet

University of Lyon 2 - Groupe d'Analyse et de Théorie Economique (GATE)

Thomas Lagoarde-Segot

Euromed Management Marseille

Date Written: January 1, 2011

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, shock vulnerability, SVAR

JEL Classification: F32, F36, G15, C32

Suggested Citation

Gimet, Céline and Lagoarde-Segot, Thomas, Global Crisis and Financial Destabilization in ASEAN Countries: A Microstructural Perspective (January 1, 2011). GATE Working Paper No. 1103, Available at SSRN: https://ssrn.com/abstract=1749508 or http://dx.doi.org/10.2139/ssrn.1749508

Céline Gimet (Contact Author)

University of Lyon 2 - Groupe d'Analyse et de Théorie Economique (GATE) ( email )

93, chemin des Mouilles
Ecully, 69130
France

Thomas Lagoarde-Segot

Euromed Management Marseille ( email )

Domaine de Luminy
BP 921 13288 Marseille Cedex 9, 13288
France

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
71
Abstract Views
713
Rank
589,475
PlumX Metrics