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No contagion,only globalization and flight to quality

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Author Info
Marie Brière () (Centre Emile Bernheim, Solvay Business School, Université Libre de Bruxelles, Brussels.)
Ariane Chapelle () (Centre Emile Bernheim, Solvay Business School, Université Libre de Bruxelles, Brussels.)
Ariane Szafarz () (Centre Emile Bernheim, Solvay Business School, Université Libre de Bruxelles, Brussels and DULBEA, Brussels.)

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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 artefact due to globalization.

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File URL: http://www.solvay.edu/EN/Research/Bernheim/documents/wp08018.pdf
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File Function: First version, 2008
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Publisher Info
Paper provided by Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB) in its series Working Papers CEB with number 08-018.RS.

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Length: 43 pages
Date of creation: May 2008
Date of revision:
Handle: RePEc:sol:wpaper:08-018

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Related research
Keywords: contagion; globalization; flight-to-quality; international financial markets.;

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Find related papers by JEL classification:
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements

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