No contagion, only globalization and flight to quality

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

No 12-010, Working Papers CEB 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, 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 F36 G10 G15 (search for similar items in EconPapers)
Pages: 42 p.
Date: 2012-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (71)

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Related works:
Journal Article: 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 (2012)
Working Paper: No Contagion, only Globalization and Flight to Quality (2012)
Working Paper: No contagion, only globalization and flight to quality (2008)
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