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首页> 外文会议>International Conference on Business and Management Research >The Analysis of Flight-to-Safety Phenomenon from Stocks to Government Bonds and Their Effects on The Risk-Return Trade-off in Indonesia Stock Exchange Period March 2008 - May 2020
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The Analysis of Flight-to-Safety Phenomenon from Stocks to Government Bonds and Their Effects on The Risk-Return Trade-off in Indonesia Stock Exchange Period March 2008 - May 2020

机译：从股票到政府债券的飞行现象分析及其对印度尼西亚证券交易所风险回报权的影响2008年3月20日 - 5月2020年

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This paper aims to analyze the relationship of the risk-return trade-off between excess return and excess return volatility on the stock exchange in Indonesia (in which both of them are already being conditioned by the macroeconomics factors) and see the effect of flight-to-safety on the relationship above. The Indonesian composite stock price index (IHSG) is used as the proxy for the risky asset while government bond (10-year Indonesian Government Bond) is used as the proxy for the safer asset. This research found a negative relationship on the risk-return trade-off in the IHSG, which indicates that the greater the volatility of the stock index's excess return, the smaller the excess return will be obtained. In addition, a negative relationship was also found between the flight-to-safety index (using 10-Year Indonesian Government Bond) to the excess return of the IHSG. This implies that if an indication of flight-to-safety is found from the IHSG to the other assets, the smaller excess return of IHSG will be obtained as well. In the end, the results of this study indicate that an indication of the flight-to-safety phenomenon also strengthens the negative relationship between the risk-return trade-off found earlier.
机译：本文旨在分析印度尼西亚证券交易所超出回报与过度回报波动之间的风险回报权衡关系（其中两者都已经被宏观经济因素的条件），并看到了飞行的影响 - 对上述关系的安全。印度尼西亚综合股票价格指数（IHSG）被用作风险资产的代理，而政府债券（10年印度尼西亚政府债券）被用作更安全资产的代理。这项研究发现了IHSG风险回报折衷的负面关系，这表明股指过剩返回的过度持续幅度越大，将获得越少的回报。此外，在飞行指数（使用10年印度尼西亚政府债券）到IHSG的过度回报之间也发现了负面关系。这意味着，如果从IHSG到其他资产中发现飞行到安全的指示，也将获得较小的IHSG过剩返回。最后，该研究的结果表明，飞行安全现象的指示也增强了更早发现的风险回报权之间的负面关系。

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