English, Article, Journal or magazine article edition: No contagion,only globalization and flight to quality Marie Brière; Ariane Chapelle; Ariane Szafarz

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Bookmark: http://trove.nla.gov.au/version/111134
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • No contagion,only globalization and flight to quality
Author
  • Marie Brière
  • Ariane Chapelle
  • Ariane Szafarz
Physical Description
  • preprint
Notes
  • 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.
  • contagion, globalization, flight-to-quality, international financial markets.
  • RePEc:sol:wpaper:08-018
Language
  • English
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