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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

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dul-0058.pdf (339.7Kb)
Type
Article accepté pour publication ou publié
Date
2012
Journal name
Journal of International Money and Finance
Volume
31
Number
6
Publisher
Elsevier
Pages
1729-1744
Publication identifier
10.1016/j.jimonfin.2012.03.010
Metadata
Show full item record
Author(s)
Brière, Marie

Chapelle, Ariane
Université Libre de Bruxelles
Szafarz, Ariane
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 / Keywords
flight to quality; globalization; Contagion; international financial markets
JEL
F36 - Financial Aspects of Economic Integration
F21 - International Investment; Long-Term Capital Movements
G11 - Portfolio Choice; Investment Decisions
G15 - International Financial Markets
G10 - General
C12 - Hypothesis Testing: General
C18 - Methodological Issues: General

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