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Flight-to-safety and the risk-return trade-off : European evidence

Aslanidis, Nektarios ; Christiansen, Charlotte LU and Savva, Christos S. (2019) In Finance Research Letters
Abstract

This paper investigates flight-to-safety from stocks to bonds in six European markets. We use quantile regressions to identify flight-to-safety episodes. The conditional risk-return trade-off on the stock markets is negative. Flight-to-safety episodes strengthen the negative trade-off. The effects of flight-to-safety episodes on the trade-off are qualitatively similar for own country flight-to-safety episodes, for flight from own country stock market to the US bond market, and for US flight-to-safety episodes. The strength of the trade-off is strongest for US flight-to-safety episodes. Flight-from-safety has the opposite effect on the trade-off.

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author
; and
organization
publishing date
type
Contribution to journal
publication status
epub
subject
keywords
Bond market, European markets, Flight-to-safety, Risk-return trade-off, Stock market
in
Finance Research Letters
publisher
Elsevier
external identifiers
  • scopus:85072297828
ISSN
1544-6123
DOI
10.1016/j.frl.2019.09.009
language
English
LU publication?
yes
id
c9a6035f-9f73-4d31-a856-680e30b05672
date added to LUP
2019-10-03 13:47:18
date last changed
2020-01-13 02:26:51
@article{c9a6035f-9f73-4d31-a856-680e30b05672,
  abstract     = {<p>This paper investigates flight-to-safety from stocks to bonds in six European markets. We use quantile regressions to identify flight-to-safety episodes. The conditional risk-return trade-off on the stock markets is negative. Flight-to-safety episodes strengthen the negative trade-off. The effects of flight-to-safety episodes on the trade-off are qualitatively similar for own country flight-to-safety episodes, for flight from own country stock market to the US bond market, and for US flight-to-safety episodes. The strength of the trade-off is strongest for US flight-to-safety episodes. Flight-from-safety has the opposite effect on the trade-off.</p>},
  author       = {Aslanidis, Nektarios and Christiansen, Charlotte and Savva, Christos S.},
  issn         = {1544-6123},
  language     = {eng},
  publisher    = {Elsevier},
  series       = {Finance Research Letters},
  title        = {Flight-to-safety and the risk-return trade-off : European evidence},
  url          = {http://dx.doi.org/10.1016/j.frl.2019.09.009},
  doi          = {10.1016/j.frl.2019.09.009},
  year         = {2019},
}