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No contagion, only globalization and flight to quality

Marie Brière, Ariane Chapelle and Ariane Szafarz
Additional contact information
Marie Brière: LEDa - Laboratoire d'Economie de Dauphine - IRD - Institut de Recherche pour le Développement - Université Paris Dauphine-PSL - PSL - Université Paris sciences et lettres - CNRS - Centre National de la Recherche Scientifique
Ariane Chapelle: Université Libre de Bruxelles - ULB - Université libre de Bruxelles

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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: flight to quality; globalization; Contagion; international financial markets (search for similar items in EconPapers)
Date: 2012
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01494525
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Published in Journal of International Money and Finance, 2012, 31 (6), ⟨10.1016/j.jimonfin.2012.03.010⟩

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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)
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:hal:journl:hal-01494525

DOI: 10.1016/j.jimonfin.2012.03.010

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