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

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.

Citation

Belhassine, O. and Riahi, M. (2024), "Searching for safe haven assets against American and European stocks during the Russo-Ukrainian War", Studies in Economics and Finance, Vol. ahead-of-print No. ahead-of-print. https://doi.org/10.1108/SEF-01-2024-0056