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No contagion, only globalization and flight to quality

Marie Brière (), Ariane Chapelle and Ariane Szafarz

Journal of International Money and Finance, 2012, vol. 31, issue 6, 1729-1744

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, investment grade corporate bonds, and high-yield corporate bonds, 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; Crisis; Diversification; Correlation (search for similar items in EconPapers)
JEL-codes: C12 C18 F36 G10 G15 (search for similar items in EconPapers)
Date: 2012
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Related works:
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)
Working Paper: No contagion, only globalization and flight to quality (2008) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:31:y:2012:i:6:p:1729-1744

DOI: 10.1016/j.jimonfin.2012.03.010

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