Baur, Dirk G.; Lucey, Brian M. - In: Journal of Financial Stability 5 (2009) 4, pp. 339-352
This paper analyzes the existence of flights from stocks to bonds and vice versa. We propose a definition and a test for flight-to-quality, flight-from-quality and cross-asset contagion and examine their characteristics and effects for the financial system. The empirical analysis for eight...