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

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  • Céline Gimet

    (GATE Lyon Saint-Etienne - Groupe d'analyse et de théorie économique - CNRS : UMR5824 - Université Lumière - Lyon II - Ecole Normale Supérieure Lettres et Sciences Humaines)

  • Thomas Lagoarde-Segot

    (DEFI - Centre de Recherche en Développement Economique et Finance Internationale - Université de la Méditerranée - Aix-Marseille II, Euromed Management - Euromed Management)

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.

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Bibliographic Info

Paper provided by HAL in its series Post-Print with number halshs-00560218.

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Date of creation: 2011
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Handle: RePEc:hal:journl:halshs-00560218

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Keywords: microstructures ; regional integration ; schock vulnerability ; SVAR;

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