No contagion,only globalization and flight to quality

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

No 08-018.RS, Working Papers CEB from Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB)

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 artefact 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)
New Economics Papers: this item is included in nep-cfn
Date: 2008-05
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http://www.solvay.edu/EN/Research/Bernheim/documents/wp08018.pdf First version, 2008 (application/pdf)

Related works:
Working Paper: No contagion, only globalization and flight to quality (2008)
Working Paper: No contagion, only globalization and flight to quality (2008)
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Persistent link: http://EconPapers.repec.org/RePEc:sol:wpaper:08-018

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