No contagion, only globalization and flight to quality
Brière, Marie; Chapelle, Ariane; Szafarz, Ariane (2012), No contagion, only globalization and flight to quality, Journal of International Money and Finance, 31, 6, p. 1729-1744. 10.1016/j.jimonfin.2012.03.010
TypeArticle accepté pour publication ou publié
Journal nameJournal of International Money and Finance
MetadataShow full item record
Département d'économie appliquée de l'université libre de Bruxelles [Dulbéa]
Abstract (EN)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.
Subjects / Keywordsflight to quality; globalization; Contagion; international financial markets
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