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Global crisis and financial destabilization in the Asean countries. A microstructural perspective

Author

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  • Céline Gimet

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

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.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Céline Gimet, 2011. "Global crisis and financial destabilization in the Asean countries. A microstructural perspective," Post-Print halshs-00666066, HAL.
    • Handle: RePEc:hal:journl:halshs-00666066
    as

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    References listed on IDEAS

    as
    1. Rakesh Mohan & Muneesh Kapur, 2012. "Liberalization and Regulation of Capital Flows: Lessons for Emerging Market Economies," Chapters, in: Masahiro Kawai & David G. Mayes & Peter Morgan (ed.), Implications of the Global Financial Crisis for Financial Reform and Regulation in Asia, chapter 6, Edward Elgar Publishing.
    2. Mr. Gianni De Nicolo & Mr. Iryna V. Ivaschenko, 2009. "Global Liquidity, Risk Premiums and Growth Opportunities," IMF Working Papers 2009/052, International Monetary Fund.
    3. N/A, 2002. "The World Economy," National Institute Economic Review, National Institute of Economic and Social Research, vol. 182(1), pages 8-36, October.
    4. N/A, 2002. "The World Economy," National Institute Economic Review, National Institute of Economic and Social Research, vol. 181(1), pages 8-14, July.
    5. N/A, 2002. "The World Economy," National Institute Economic Review, National Institute of Economic and Social Research, vol. 180(1), pages 8-13, April.
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    Cited by:

    1. Jasman Tuyon & Zamri Ahmada, 2016. "Behavioural finance perspectives on Malaysian stock market efficiency," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 16(1), pages 43-61, March.
    2. Shaikh, Aijaz A. & Glavee-Geo, Richard & Karjaluoto, Heikki, 2017. "Exploring the nexus between financial sector reforms and the emergence of digital banking culture – Evidences from a developing country," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1030-1039.

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    More about this item

    Keywords

    global crisis; financial destabilization; Asean countries;
    All these keywords.

    JEL classification:

    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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