par Briere, Marie 
;Chapelle, Ariane ;Szafarz, Ariane
Référence Journal of international money and finance, 31, 6, page (17291744)
Publication Publié, 2012
;Chapelle, Ariane ;Szafarz, Ariane Référence Journal of international money and finance, 31, 6, page (17291744)
Publication Publié, 2012
Article révisé par les pairs
| Résumé : | 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. |
