Department of Economics and Business Economics

Flight-to-Safety and the Risk-Return Trade-Off: European Evidence

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  • Nektarios Aslanidis, Universitat Rovira i Virgili, CREIP, Spain
  • Charlotte Christiansen
  • Christos S. Savva, Cyprus University of Technology, Cyprus

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.

Original languageEnglish
Article number101294
JournalFinance Research Letters
Volume35
Number of pages6
ISSN1544-6123
DOIs
Publication statusPublished - Jul 2020

    Research areas

  • Bond market, European markets, Flight-to-safety, Risk-return trade-off, Stock market

See relations at Aarhus University Citationformats

ID: 164532610