Utilizad este identificador para citar o enlazar este documento: http://hdl.handle.net/2072/306547

Flight to Safety from European Stock Markets
Aslanidis, Nektarios,; Christiansen, Charlotte
Universitat Rovira i Virgili. Departament d'Economia
This paper investigates flight-to-safety from stocks to bonds in seven European markets. We use quantile regressions to identify flight- to-safety episodes. The simple risk-return trade-off on the stock markets is negative which is caused by flight-to-safety episodes: During normal periods, the risk-return trade-off is positive and during flight-to-safety episodes it is negative. The effects of flight-to-safety episodes on the risk-return 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. The strength of the trade-off is strongest for own country flight- to-safety episodes. The risk-return trade-off is not significantly influenced by recession periods or the recent sovereign debt crisis. The main results hold for flight to gold instead of to bonds. Keywords: flight-to-safety; risk-return trade-off; European markets; stock market; bond market; gold futures. JEL Classfications: C58, F30, G11, G15
2018
336 - Finances. Banca. Moneda. Borsa
Finances internacionals
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29 p.
Documento de trabajo
Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública
Documents de treball del Departament d'Economia;2018-04
         

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