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No contagion, only globalization and flight to quality

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

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.

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File URL: http://basepub.dauphine.fr/xmlui/bitstream/123456789/7746/1/dul-0058.pdf
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Paper provided by Paris Dauphine University in its series Economics Papers from University Paris Dauphine with number 123456789/7746.

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Date of creation: 2012
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Publication status: Published in Journal of International Money and Finance, 2012, Vol. 31, no. 6. pp. 1729-1744.Length: 15 pages
Handle: RePEc:dau:papers:123456789/7746
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