Título:
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Flight to Safety from European Stock Markets
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Autor/a:
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Aslanidis, Nektarios,; Christiansen, Charlotte
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Otros autores:
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Universitat Rovira i Virgili. Departament d'Economia |
Abstract:
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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 |
Fecha de creación:
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2018 |
Materias (CDU):
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336 - Finances. Banca. Moneda. Borsa |
Materia(s):
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Finances internacionals |
Derechos:
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L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons: http://creativecommons.org/licenses/by-nc-nd/4.0/ |
Páginas:
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29 p. |
Tipo de documento:
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Documento de trabajo |
Editor:
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Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública
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Collection:
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Documents de treball del Departament d'Economia;2018-04
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