Wheat as a hedge and safe haven for equity investors during the Russia–Ukraine war

Bassem Ghorbali, Olfa Kaabia, Kamel Naoui, Christian Urom and Ikrame Ben Slimane

Finance Research Letters, 2023, vol. 58, issue PC

Abstract: This study assesses the safe haven and hedge profiles of wheat against equity markets during the Russia–Ukraine war using both DCC-GARCH and wavelet techniques. We found significant decrease in dynamic conditional correlations between wheat and the chosen indexes, suggesting that investors may reduce portfolio risks using wheat. Moreover, we demonstrate that wheat possesses weak safe-haven potential for equity indexes during the war, except for the FTSE/MIB while it provides hedging benefits for DAX30, S&P500 and FTSE100. These results are confirmed by our further analysis using wavelet coherency, which shows that wheat provides safe haven for these assets (except FTSE/MIB), especially for medium-term investors.

Keywords: Wheat; Equity market; DCC-GARCH; Russia–Ukraine war; Safe-haven; Hedge (search for similar items in EconPapers)
JEL-codes: C32 G01 G11 G15 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323009066

DOI: 10.1016/j.frl.2023.104534

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