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

  • Céline Gimet

    (GATE Lyon Saint-Étienne - Groupe d'analyse et de théorie économique - ENS Lyon - École normale supérieure - Lyon - UL2 - Université Lumière - Lyon 2 - UCBL - Université Claude Bernard Lyon 1 - Université Jean Monnet - Saint-Etienne - PRES Université de Lyon - CNRS - Centre National de la Recherche Scientifique)

  • Thomas Lagoarde-Segot

    (CEDERS - Centre de Recherche en Développement Economique et Finance Internationale - Université de la Méditerranée - Aix-Marseille 2, Euromed Marseille - École de management - Association Euromed Management - Marseille)

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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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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Publication status: Published in Working paper GATE 2011-03. 2011
Handle: RePEc:hal:journl:halshs-00560218
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00560218v2
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