Department of Economics and Business Economics

Flight to Safety from European Stock Markets

Research output: ResearchWorking paper

Standard

Flight to Safety from European Stock Markets. / Aslanidis, Nektarios; Christiansen, Charlotte.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2017.

Research output: ResearchWorking paper

Harvard

Aslanidis, N & Christiansen, C 2017 'Flight to Safety from European Stock Markets' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Aslanidis, N., & Christiansen, C. (2017). Flight to Safety from European Stock Markets. Aarhus: Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2017-38

CBE

Aslanidis N, Christiansen C. 2017. Flight to Safety from European Stock Markets. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Aslanidis, Nektarios and Charlotte Christiansen Flight to Safety from European Stock Markets. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2017-38). 2017., 27 p.

Vancouver

Aslanidis N, Christiansen C. Flight to Safety from European Stock Markets. Aarhus: Institut for Økonomi, Aarhus Universitet. 2017 Nov 8.

Author

Aslanidis, Nektarios ; Christiansen, Charlotte. / Flight to Safety from European Stock Markets. Aarhus : Institut for Økonomi, Aarhus Universitet, 2017. (CREATES Research Papers; No. 2017-38).

Bibtex

@techreport{80c41818ac394fbbaffa53e0df9577a8,
title = "Flight to Safety from European Stock Markets",
abstract = "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",
author = "Nektarios Aslanidis and Charlotte Christiansen",
year = "2017",
month = "11",
publisher = "Institut for Økonomi, Aarhus Universitet",
type = "WorkingPaper",
institution = "Institut for Økonomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Flight to Safety from European Stock Markets

AU - Aslanidis,Nektarios

AU - Christiansen,Charlotte

PY - 2017/11/8

Y1 - 2017/11/8

N2 - 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.

AB - 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.

KW - ‡flight-to-safety, risk-return trade-off, European markets, stock market, bond market, gold futures

M3 - Working paper

BT - Flight to Safety from European Stock Markets

PB - Institut for Økonomi, Aarhus Universitet

ER -