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Global crisis and financial destabilization in ASEAN countries: a microstructural perspective

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  • Céline Gimet
  • Thomas Lagoarde-Segot

Abstract

This article investigates whether the ongoing financial crisis has destabilized the microstructures of Association of Southeast Asian Nations (ASEAN) stock markets. 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 structural vector autoregression (SVAR) models. Finally, forecast error variance decomposition analysis and impulse response function permit to identify the magnitude and the symmetry of ASEAN financial systems’ exposures to international shocks. Our results uncover significant and asymmetrical shock transmission channels. We draw implications for the design of future regional integration initiatives.

Suggested Citation

  • Céline Gimet & Thomas Lagoarde-Segot, 2011. "Global crisis and financial destabilization in ASEAN countries: a microstructural perspective," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 16(3), pages 294-312.
    • Handle: RePEc:taf:rjapxx:v:16:y:2011:i:3:p:294-312
    DOI: 10.1080/13547860.2011.589622
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    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

    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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