Estimating the impact of the outbreak of wars on financial assets: Evidence from Russia-Ukraine conflict

Wang, Zhengzhong; Liu, Shuihan; Wei, Yunjie; Wang, Shouyang

doi:10.1016/j.heliyon.2023.e21380

Cited by 2 publications

(1 citation statement)

References 57 publications

(73 reference statements)

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“…So, Investors may consider investing in oil as a hedge to gain from price rises in the case of a supply shock (Adekoya et al, 2022). The resistance of Gold against this ongoing war was confirmed by Be ˛dowska-S ojka et al (2022), Oosterlinck et al (2023), Wang et al (2023). The DCCs among different return pairs vary considerably during the analysis period, implying that portfolio managers and investors need to regulate their portfolio structures regularly.…”

Section: Downside Riskmentioning

confidence: 93%

Downside risk in Dow Jones equity markets: hedging and portfolio management during COVID-19 pandemic and the Russia–Ukraine war

Said,

Ouerfelli

2024

JRF

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PurposeThis paper aims to examine the dynamic conditional correlation (DCC) and hedging ratios between Dow Jones markets and oil, gold and bitcoin. Using daily data, including the COVID-19 pandemic and the Russia–Ukraine war. We employ the DCC-generalized autoregressive conditional heteroskedasticity (GARCH) and asymmetric DCC (ADCC)-GARCH models.Design/methodology/approachDCC-GARCH and ADCC-GARCH models.FindingsThe most of DCCs among market pairs are positive during COVID-19 period, implying the existence of volatility spillovers (Contagion-effects). This implies the lack of additional economic gains of diversification. So, COVID-19 represents a systematic risk that resists diversification. However, during the Russia–Ukraine war the DCCs are negative for most pairs that include Oil and Gold, implying investors may benefit from portfolio-diversification. Our hedging analysis carries significant implications for investors seeking higher returns while hedging their Dow Jones portfolios: keeping their portfolios unhedged is better than hedging them. This is because Islamic stocks have the ability to mitigate risks.Originality/valueOur paper may make a valuable contribution to the existing literature by examining the hedging of financial assets, including both conventional and Islamic assets, during periods of stability and crisis, such as the COVID-19 pandemic and the Russia–Ukraine war.

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Section: Downside Riskmentioning

confidence: 93%

Downside risk in Dow Jones equity markets: hedging and portfolio management during COVID-19 pandemic and the Russia–Ukraine war

Said,

Ouerfelli

2024

JRF

View full text Add to dashboard Cite

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Impact of the Israel–Hamas conflict on financial markets of MENA region – a study on investors’ reaction

Yudaruddin,

Lesmana,

Yudaruddin

et al. 2024

JEAS

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PurposeThis study aims to examine market reactions to the Israel–Hamas conflict in neighboring countries, particularly focusing on the Middle East North Africa (MENA) region.Design/methodology/approachThe study adopts an event study methodology, employing average abnormal return (AAR) and cumulative abnormal return as measures to assess market reactions. The sample for this study comprises 1,314 companies, with October 9, 2023, identified as the event day for analysis.FindingsThe results of our study indicate that countries in close proximity to Israel and Palestine encountered detrimental effects on their capital markets, as evidenced by negative responses observed across various sectors. Our analysis also reveals that countries in the midst of conflict, particularly Israel, experienced a decrease in their stock markets across various sectors, with the exception of materials and real estate. In addition, our investigation reveals disparities in market responses according to different categories of company size.Originality/valueThis research is the first to study market reactions to Israel–Hamas in the MENA region at the company level.

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Estimating the impact of the outbreak of wars on financial assets: Evidence from Russia-Ukraine conflict

Cited by 2 publications

References 57 publications

Downside risk in Dow Jones equity markets: hedging and portfolio management during COVID-19 pandemic and the Russia–Ukraine war

Downside risk in Dow Jones equity markets: hedging and portfolio management during COVID-19 pandemic and the Russia–Ukraine war

Impact of the Israel–Hamas conflict on financial markets of MENA region – a study on investors’ reaction

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