No contagion, only globalization and flight to quality

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Diversifying away the Risk of War and Cross-Border Political Crisis (2017, background): “Specifically, the presence of the flight-toliquidity and flight-to-quality phenomena that mobilize funds from stock markets to government bonds during times of financial turmoil is well documented both theoretically and empirically (Briere et al., 2012; Baur and Lucey, 2009; Caballero and Krishnamur”
Return connectedness across asset classes around the COVID-19 outbreak (2020, background): “In fact, changes in the interdependence across financial markets is a major concern for investors seeking the benefits of diversification (Brière et al., 2012).”