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 … globalization and flight to quality, while emphasizing that contagion on the equity markets appears as an artifact due to …

) funding in isolation. We also find strong evidence of global contagion: although global waves originate in developed countries …, emerging markets’ funding is much more affected. We illustrate this finding by deriving “contagion maps” showing where … contagion spreads and with what intensity. In general, our results suggest that “push” effects from advanced market investors …

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … evidence on possible changes in the transmission mechanism (namely, on whether there is contagion) can be obtained by examining … spillovers between the three CEECs considered and the UK (contagion). …

This paper employs an Extreme Value Theory framework to investigate the existence of contagion between European and US … finding market-based indicators in order to analyze the effects of crises and to quantify the risk of contagion. The Distance … coexceedances allows to interpret significant coefficients of foreign lagged coexceedances as contagion. The main finding is that …

This paper analyzes the existence of flight-to-quality from stocks to bonds and contagion between the two asset classes … increasing correlations in falling stock markets implies contagion across asset classes. We estimate dynamic conditional … contagion are relatively frequent phenomena. Examples of flight-to-quality are in the Asian and Russian crisis 1997 and 1998 and …

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 … combination of globalization and flight to quality, while emphasizing that contagion on the equity markets appears as an artifact …