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

Olfa Belhassine and Montassar Riahi
Additional contact information
Olfa Belhassine: Univ. Manouba, ESCT, Manouba, Tunisia
Montassar Riahi: Univ. Manouba, ESCT, Manouba, Tunisia

Post-Print from HAL

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; US stock market; Russo-Ukrainian War (search for similar items in EconPapers)
Date: 2024-11-15
References: Add references at CitEc
Citations:

Published in Studies in Economics and Finance, 2024, ⟨10.1108/SEF-01-2024-0056⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:hal:journl:hal-04794957

DOI: 10.1108/SEF-01-2024-0056

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().