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

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. (J Asia Pac Econ/GIGA)