This paper investigates how the ECB can reduce financial and banking fragmentation, a stated objective in crisis period. We use regional SVAR models and national GVAR models to study the impact of interest rates, QE and LTROs on price and volume indicators of fragmentation through the main...

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...