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No Contagion, only Globalization and Flight to Quality

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

ULB Institutional Repository 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: G10 G15 F36 C12 (search for similar items in EconPapers)
Date: 2012
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Published in: Journal of international money and finance (2012) v.31 n° 6,p.17291744

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Journal Article: No contagion, only globalization and flight to quality (2012) Downloads
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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 (2008) Downloads
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