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No contagion, only globalization and flight to quality

  • Brière, Marie
  • Chapelle, Ariane
  • Szafarz, Ariane

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.

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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 31 (2012)
Issue (Month): 6 ()
Pages: 1729-1744

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Handle: RePEc:eee:jimfin:v:31:y:2012:i:6:p:1729-1744
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30443

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