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No contagion, only globalization and flight to quality

Marie Brière (), Ariane Chapelle () and Ariane Szafarz

No 08-22.RS, DULBEA Working Papers from ULB -- Universite Libre de Bruxelles

Abstract: In this article, tests for globalization and contagion are separated using an ex ante definition of crises, and contagion tests are neutralized with respect to globalization effects. A large database is constructed to study the stability of correlation matrices for four asset classes: equities, government bonds, and corporate bonds – investment grade and high yield – in four geographical zones. Overall, the results confirm the instability of correlations and point to a combination of globalization and flight to quality, while emphasizing that contagion on the equity markets appears as an artifact due to globalization.

Keywords: contagion; globalization; flight to quality; international financial markets. (search for similar items in EconPapers)
JEL-codes: G15 G11 F36 F21 (search for similar items in EconPapers)
Date: 2008-11
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Published by: ULB, DULBEA

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Related works:
Journal Article: No contagion, only globalization and flight to quality (2012) Downloads
Working Paper: No contagion, only globalization and flight to quality (2012) Downloads
Working Paper: No contagion, only globalization and flight to quality (2012) Downloads
Working Paper: No Contagion, only Globalization and Flight to Quality (2012)
Working Paper: No Contagion, only Globalization and Flight to Quality (2012)
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