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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 Business School, Centre Emile Bernheim (CEB) in its series Working Papers CEB with number 08-018.RS.

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Length: 42 pages
Date of creation: May 2008
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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

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