Searching for safe haven assets against American and European stocks during the Russo-Ukrainian War

Olfa Belhassine and Montassar Riahi

Studies in Economics and Finance, 2024, vol. 42, issue 2, 352-372

Abstract: Purpose - This study aims to evaluate the safe haven property of several assets against the US and European stock markets during the Russo-Ukrainian War in a time–frequency framework. Design/methodology/approach - This study uses the wavelet-based dynamic conditional correlation-generalized autoregressive conditional heteroskedasticity (DCC-GARCH) methodology and wavelet coherence on daily returns for the S&P500, STOXX600 and 13 possible save haven assets. Findings - The results show that wheat and corn are the best assets to use as hedges and safe havens for all types of investors. The second-ranked are energy commodities, which are hedges and safe havens for long-term investors. Gold, silver and palladium display hedging and safe haven qualities for medium- and long-term investment. However, cryptocurrencies, the Dow Jones sustainability index and Islamic indices do not act as safe havens for most holding periods. Practical implications - These findings have significant implications for portfolio investment strategies in times of geopolitical risks. Originality/value - The contributions of this study are twofold. First, several assets from different classes were analyzed as possible candidates for safe havens. Second, to the best of the authors’ knowledge, this is the first study to analyze safe haven property through different investment horizons for the US and the European stock market indices during the Russo-Ukrainian War.

Keywords: Co-movement; Safe haven; Wavelet approach; European stock market; Russo-Ukranian War; US Stock market; G01; G11; G15 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eme:sefpps:sef-01-2024-0056

DOI: 10.1108/SEF-01-2024-0056

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