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Systemic risk in ASEAN-6: a new empirical investigation

Trung Hai Le (Banking Faculty, Banking Academy of Vietnam, Hanoi, Vietnam)

International Journal of Emerging Markets

ISSN: 1746-8809

Article publication date: 22 February 2021

Issue publication date: 24 November 2022

316

Abstract

Purpose

The authors provide a comprehensive study on systemic risk of the banking sectors in the ASEAN-6 countries. In particular, they investigate the systemic risk dynamics and determinants of 49 listed banks in the region over the 2000–2018 period.

Design/methodology/approach

The authors employ the market-based SRISK measure of Brownlees and Engle (2017) to investigate the systemic risk of the ASEAN-6's banking sectors.

Findings

The authors find that the regional systemic risk fluctuates significantly and currently at par or higher level than that of the recent global financial crisis. Systemic risk is generally associated with banks that have bigger size, more traditional business models, lower quality in their loan portfolios, less profitable and with lower market-to-book values. However, these relationships vary significantly between ASEAN countries.

Research limitations/implications

The research focuses on the systemic risk of ASEAN-6 countries. Therefore, the research results may lack generalizability to other countries.

Practical implications

The authors’ empirical evidence advocates the use of capital surcharges on the systemically important financial institutions. Although the region has been pushing to higher financial integration in recent years, the authors encourage the regional regulators to account for the idiosyncratic characteristics of their banking sectors in designing effective macroprudential policy to contain systemic risk.

Originality/value

This paper provides the first study on the systemic risk of the ASEAN-6 region. The empirical evidence on the drivers of systemic risk would be of interest to the regional regulators.

Keywords

Citation

Le, T.H. (2022), "Systemic risk in ASEAN-6: a new empirical investigation", International Journal of Emerging Markets, Vol. 17 No. 8, pp. 2052-2083. https://doi.org/10.1108/IJOEM-05-2020-0567

Publisher

:

Emerald Publishing Limited

Copyright © 2021, Emerald Publishing Limited

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