Show simple item record

dc.contributor.authorBrière, Marie*
dc.contributor.authorChapelle, Ariane*
dc.contributor.authorSzafarz, Ariane*
dc.date.accessioned2011-12-07T13:45:03Z
dc.date.available2011-12-07T13:45:03Z
dc.date.issued2012
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/7746
dc.language.isoenen
dc.subjectflight to qualityen
dc.subjectglobalizationen
dc.subjectContagionen
dc.subjectinternational financial marketsen
dc.subject.ddc332en
dc.subject.classificationjelF.F3.F36en
dc.subject.classificationjelF.F2.F21en
dc.subject.classificationjelG.G1.G11en
dc.subject.classificationjelG.G1.G15en
dc.subject.classificationjelG.G1.G10
dc.subject.classificationjelC.C1.C12
dc.subject.classificationjelC.C1.C18
dc.titleNo contagion, only globalization and flight to qualityen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherDULBEA, Université Libre de Bruxelles;Belgique
dc.description.abstractenIn 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.en
dc.relation.isversionofjnlnameJournal of International Money and Finance
dc.relation.isversionofjnlvol31
dc.relation.isversionofjnlissue6
dc.relation.isversionofjnldate2012
dc.relation.isversionofjnlpages1729-1744
dc.relation.isversionofdoi10.1016/j.jimonfin.2012.03.010
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevier
dc.subject.ddclabelEconomie financièreen
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
hal.person.labIds255365*
hal.person.labIds218169*
hal.person.labIds104113*
hal.identifierhal-01494525*


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record