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

Céline Gimet (1) , Thomas Lagoarde-Segot (2, 3)

1 GATE Lyon Saint-Étienne - Groupe d'Analyse et de Théorie Economique Lyon - Saint-Etienne
2 DEFI - Centre de recherche en développement économique et finance internationale
3 Euromed Marseille - École de management

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.

Mots clés: microstructures; regional integration; schock vulnerability; SVAR

Domaines: Economies et finances

Céline Gimet, Thomas Lagoarde-Segot. Global crisis and Financial destabilization in ASEAN countries. A microstructural perspective. 2011. ⟨halshs-00560218v2⟩