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"Penelitian ini bertujuan untuk menganalisis hubungan Risk-Return Trade Off antara excess return kondisional dengan volatilitas excess return kondisional pada bursa saham di Indonesia dan melihat pengaruh Flight to Safety pada hubungan diatas. Penelitian ini menggunakan proxy saham IHSG sebagai aset berisiko dan proxy obligasi pemerintah berupa INDOBeX Gov dan Obligasi Pemerintah Indonesia 10 Tahun sebagai aset yang dianggap lebih aman. Dalam penelitan ini ditemukan hubungan negatif pada risk-return trade off pada Bursa Saham Indonesia yang mengindikasikan bahwa semakin besar volatilitas excess return bursa saham IHSG maka semakin kecil excess return yang akan diperoleh. Selain itu, ditemukan juga hubungan negatif antara indeks Flight to Safety (baik menggunakan INDOBeX Gov maupun Obligasi Pemerintah Indonesia 10 Tahun) terhadap excess return bursa IHSG. Hal ini mengimplikasikan bahwa apabila ditemukan indikasi Flight to Safety dari pasar saham, maka semakin kecil excess return yang akan diperoleh. Pada akhirnya, hasil penelitian ini menunjukkan bahwa adanya indikasi fenomena Flight to Safety turut memperkuat hubungan negatif Risk-Return Trade Off yang ditemukan sebelumnya.......This study aims to analyze the relationship between Risk-Return Trade Off between conditional excess return and conditional excess return volatility on the stock exchange in Indonesia and see the effect of Flight to Safety on the relationship above. This study uses a stock proxy in the form of IHSG as a risky asset and a government bond proxy in the form of INDOBeX Gov and a 10-year Indonesian Government Bond as assets that are considered safer. In this research found a negative relationship on the risk-return trade off on the Indonesia Stock Exchange which indicates that the greater the volatility of the stock index's excess return volatility, the smaller the excess return to be obtained. In addition, a negative relationship was found between the Flight to Safety index (both using INDOBeX Gov and the 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 stock market, the smaller excess return will be obtained. In the end, the results of this study indicate that an indication of the Flight to Safety phenomenon also strengthens the negative relationship between Risk-Return Trade Off found earlier."

"In this paper, we analyze the empirical relationship between stock return and trading volumebased on stock market cycles. Using daily data for Jakarta Composite Index (JCI) closing price andtrading volume from 2010 to 2014, we identify the bull and bear phases, then we analyze the return–volume relationship in both contemporaneous and dynamic context. We find that (1) there is a positivecontemporaneous return–volume relationship in both bull and bear markets, which is only significantin bull markets; (2) no evidence of asymmetry in contemporaneous relationship is found; and (3)there exists a positive unidirectional causality from stock return to trading volume. Our research hastwo implications. First, in the bull market, overconfidence may grow with long-lasting past successand there is also momentum or positive feedback trading. Second, stock return is able to forecasttrading volume. In addition, our findings are robust for different sample period and data frequency."