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No contagion, only globalization and flight to quality

  • Marie Briere
  • Ariane Chapelle
  • Ariane Szafarz

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: https://dipot.ulb.ac.be/dspace/bitstream/2013/13560/1/dul-0058.pdf
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Paper provided by ULB -- Universite Libre de Bruxelles in its series DULBEA Working Papers with number 08-22.RS.

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Date of creation: Nov 2008
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Publication status: Published by: ULB, DULBEA
Handle: RePEc:dul:wpaper:08-22rs
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