PT - JOURNAL ARTICLE AU - Dirk G. Baur AU - Gunter Löffler TI - Is Contagion Infecting Your Portfolio? <em>A Study of the Euro Sovereign Debt Crisis</em> AID - 10.3905/jfi.2016.25.3.046 DP - 2015 Dec 31 TA - The Journal of Fixed Income PG - 46--57 VI - 25 IP - 3 4099 - https://pm-research.com/content/25/3/46.short 4100 - https://pm-research.com/content/25/3/46.full AB - For the euro debt crisis, we assess the relevance of financial contagion from an investor perspective. We find that contagion, which we identify through the joint occurrence of extremely negative bond returns, has only small and transitory effects on broad government bond portfolios. For portfolios with concentrated country exposures, the frequency of contagious events does not add information to a standard analysis of risk. Hence, contagion in the euro debt crisis appears to bear little relevance for market timing and country selection alike.TOPICS: Fixed income and structured finance, financial crises and financial market history, developed