The correlation between financial markets in the United States, the euro zone and emerging countries: Is there a “normal” regime and a “crisis” regime?

In the recent period, equity and bond capital flows have exited emerging countries and the euro zone in favour of the United States. This raises the question as to how capital would flow in the event optimism about the United States fell, for example following a growth slowdown: Is there a “normal” regime in which, if the shock to the United States is small, capital simply returns from the United States to the euro zone and emerging countries, i.e. there is a negative correlation between the US market on the one hand and those in the euro zone and emerging countries on the other? Is there a “crisis” regime in which, if the shock to the United States is large, risk aversion rises, capital returns to risk-free bonds, and equity markets fall simultaneously in the United States, the euro zone and emerging countries, i.e. there is a positive correlation between these markets? An analysis of past developments shows that: The three markets (United States, euro zone, emerging countries) are always correlated when it comes to bonds; For equities : The US and euro-zone markets are always correlated; When the shock is large (2008), the emerging market moves with the US market; But when the shock is smaller, equity capital flows do shift from the United States to emerging countries.