Working Paper 96-2020 I May 2020 Did Globalization Kill Contagion? Document for the exclusive attention of professional clients, investment services providers and any other professional of the financial industry Did Globalization Kill Contagion? Abstract Olivier Accominotti Does financial globalization lead to contagion? We London School of Economics scrutinize linkages between international stock markets & CEPR in a long historical perspective (1880-2014). Our results
[email protected] highlight that without globalization, contagion cannot exist. However, if cross-market correlations are very high, Marie Brière globalization kills contagion. We show that financial AMUNDI & Paris-Dauphine University contagion was absent from stock markets in both the
[email protected] period of deglobalization of 1918-1971 and the era of “extreme” globalization of 1972-2014 but was present in Aurore Burietz the period of “moderate” globalization of 1880-1914. Our IESEG School of Management results suggest that contagion could become a significant & LEM-CNRS 9221 problem if financial markets return to a more moderate
[email protected] level of globalization. Kim Oosterlinck Université Libre de Bruxelles (ULB) & CEPR
[email protected] Ariane Szafarz ULB & New York University (NYU)
[email protected] Keywords: contagion, globalization, financial crisis, historical finance JEL classification:F36, F65, G15, N20 Acknowledgement We are grateful to Tristan Jourde and to the participants of the conference on Economic History and Economic Policy organized by the Banque de France. We acknowledge funding from the People Programme (Marie Curie Actions) of the European Union’s Seventh Framework Programme FP7/2007-2013/ under REA grant agreement No. 608129.