CONTAGION AND FLIGHT-TO-QUALITY: EVIDENCES FROM THE ASIA-PACIFIC ECONOMIC COOPERATION (APEC) REGION

This paper investigates the existence and determinants of contagion and flight-toquality phenomena during crisis periods in the stock and bond markets of APEC countries between 1995 and 2010. The findings show the presence of contagion effects among stock markets of APEC countries and between the U.S. and Canadian bond markets. There are evidences of flight-to-quality from majority of the stock markets to the U.S. bond market. Market sentiment plays an important role in explaining both contagion and flight-to-quality phenomena. Our findings suggest that governments should facilitate bond market development to prevent the propagation of crises across countries.


Issue Date:
Jan 01 2014
Publication Type:
Journal Article
ISSN:
0973-1687
Language:
English
Published in:
Review of Applied Economics, Volume 10, Number 1-2
Page range:
21-47
JEL Codes:
G15; G01; F15; F30; F60; E44




 Record created 2017-10-31, last modified 2017-10-31

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