The Impacts of the Conflicts Between Israel and Hamas, as well as Between Russia and Ukraine, on Financial Assets and Crypto-Currencies

Nidhal Mgadmi (), Ameni Abidi (), Néjib Hachicha () and Wajdi Moussa ()
Additional contact information
Nidhal Mgadmi: University of Monastir
Ameni Abidi: University of Sfax
Néjib Hachicha: University of Sfax
Wajdi Moussa: University of Tunis, Higher Institute of Management of Tunis-Tunisia

Computational Economics, 2025, vol. 66, issue 2, No 25, 1689 pages

Abstract: Abstract Our research stands out for its innovative nature, being the first to delve into the impact of the conflict between Israel and Hamas, as well as the war between Russia and Ukraine, on various markets such as crypto-currencies, stock indices, non-renewable energy prices, and Gold. We introduce the Israel-Hamas war Index and the Russia-Ukraine war Index to assess current Geopolitical Risks (GPR). To support our analysis, we conduct a literature review, examining previous studies addressing the influence of GPR. Our analysis focuses on four specific crypto-currencies: XRP, Bitcoin (BTC), Ethereum (ETH), and USDT. Additionally, we examine seven stock indices: the S&P500, Eurozone index (Euro-Stoxx 50), Moscow stock index (MOEX), Kiev stock index (PETS), UK stock index (FTSE 100), Tel Aviv stock index (TA 35), and Philistine stock index (Al-Quads). Prices of non-renewable energies, including Oil, natural Gas and Gold are also part of our analysis. We modeled each traditional financial asset and crypto-currency using the ARMA model at both level and first difference. We examined the existence or absence of heteroscedasticity and autocorrelation issues, as well as the presence of multiple changes using the Bai-Perron test (1998).We detected symmetric volatility using the FIGARCH model and selected only Ripple and Gold as hedging instruments and safe havens against current GPR. We employ the non-parametric wavelet coherence technique to investigate the Co-movement between these indices, energy prices, and the four crypto-currencies. We validated the close Co-movement between stock indices, non-renewable energy prices, and the two famous crypto-currencies (Bitcoin and Ethereum) during these periods of risk. However, there is a total absence of Co-movement between Ripple and Gold with other traditional assets and crypto-assets.

Keywords: Energies; Crypto-currencies; Wavelet coherence and armed conflicts; E3; G15; D4 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10614-024-10776-1 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:compec:v:66:y:2025:i:2:d:10.1007_s10614-024-10776-1

Ordering information: This journal article can be ordered from
http://www.springer. ... ry/journal/10614/PS2

DOI: 10.1007/s10614-024-10776-1

Access Statistics for this article

Computational Economics is currently edited by Hans Amman

More articles in Computational Economics from Springer, Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().