Safe flight to which haven when Russia invades Ukraine? A 48-hour story

Mohamad, Azhar

doi:10.1016/j.econlet.2022.110558

Cited by 48 publications

(31 citation statements)

References 22 publications

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“…Regarding the first aspect, the scale of observed volatility shocks after the outbreak of war confirms that forecasting volatility during such a period is much more difficult than during the peace period. Similar conclusions have been already presented separately for specific markets (for stock markets by Boungou & Yatié, 2022;Yousaf et al, 2022;Lo et al, 2022 andBoubaker et al, 2022; for currency markets by Chortane &Plíhal, 2022; for cryptocurrency markets by Long et al, 2022 andMohamad, 2022; for commodity ones by Fang & Shao, 2022;Wang et al, 2022 andAdekoya et al, 2022). These studies dealt with the effects of the war on the prices, returns or volatilities (sometimes in relation to transition channels or various factors like war proximity or belonging to NATO), however our study is the first to show the effects of war on accuracy of forecasts.…”

Section: Discussionsupporting

confidence: 75%

“…The litera-ture examining the reactions in cryptocurrency markets is rather scarce. The exceptions are the papers by Long et al (2022), who examine cryptocurrency exposure to the geopolitical risk and Mohamad (2022), who studies the flight to safety and finds the herding behavior among cryptocurrencies after the war outbreak Alongside the financial markets, the war impacts is also analyzed in the commodity markets. Due to their large exposition to this specific conflict, the main analyzed markets are agricultural, metal and energy ones.…”

Section: Literature Reviewmentioning

confidence: 99%

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Forecasting volatility during the outbreak of Russian invasion of Ukraine: application to commodities, stock indices, currencies, and cryptocurrencies

Fiszeder

Małecka

2022

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Research background: The Russian invasion on Ukraine of February 24, 2022 sharply raised the volatility in commodity and financial markets. This had the adverse effect on the accuracy of volatility forecasts. The scale of negative effects of war was, however, market-specific and some markets exhibited a strong tendency to return to usual levels in a short time. Purpose of the article: We study the volatility shocks caused by the war. Our focus is on the markets highly exposed to the effects of this conflict: the stock, currency, cryptocurrency, gold, wheat and crude oil markets. We evaluate the forecasting accuracy of volatility models during the first stage of the war and compare the scale of forecast deterioration among the examined markets. Our long-term purpose is to analyze the methods that have the potential to mitigate the effect of forecast deterioration under such circumstances. We concentrate on the methods designed to deal with outliers and periods of extreme volatility, but, so far, have not been investigated empirically under the conditions of war. Methods: We use the robust methods of estimation and a modified Range-GARCH model which is based on opening, low, high and closing prices. We compare them with the standard maximum likelihood method of the classic GARCH model. Moreover, we employ the MCS (Model Confidence Set) procedure to create the set of superior models. Findings & value added: Analyzing the market specificity, we identify both some common patterns and substantial differences among the markets, which is the first comparison of this type relating to the ongoing conflict. In particular, we discover the individual nature of the cryptocurrency markets, where the reaction to the outbreak of the war was very limited and the accuracy of forecasts remained at the similar level before and after the beginning of the war. Our long-term contribution are the findings about suitability of methods that have the potential to handle the extreme volatility but have not been examined empirically under the conditions of war. We reveal that the Range-GARCH model compares favorably with the standard volatility models, even when the latter are evaluated in a robust way. It gives valuable implication for the future research connected with military conflicts, showing that in such period gains from using more market information outweigh the benefits of using robust estimators.

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Section: Discussionsupporting

confidence: 75%

Section: Literature Reviewmentioning

confidence: 99%

Forecasting volatility during the outbreak of Russian invasion of Ukraine: application to commodities, stock indices, currencies, and cryptocurrencies

Fiszeder

Małecka

2022

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“…We consider the invasion of Russian troops into Ukraine as an event in our empirical analysis (similar to Basnet et al, 2022;Boubaker et al, 2022;Boungou and Yatié, 2022;Deng et al, 2022;Huang and Lu, 2022;Mohamad, 2022;Tosun and Eshraghi, 2022). This event allows us to study how an unanticipated change in the market environment affects stock prices of firms in the energy sector.…”

Section: Introductionmentioning

confidence: 99%

The impact of the Russia-Ukraine conflict on energy firms: A capital market perspective

Nerlinger

Utz

2022

Finance Research Letters

136

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“…A tremendous disturbance and high instabilities have marked energy and cryptocurrency markets during COVID-19 (Naeem et al ., 2021, 2022; Ha, 2022; Mnif et al ., 2020) and the Russia–Ukraine conflict (Mohamad, 2022). For these reasons, this paper attempts to compare the behavior of conventional and energy-conserving cryptocurrencies leading to the best investment strategies and policies.…”

Section: Methodsmentioning

confidence: 99%

Energy-conserving cryptocurrency response during the COVID-19 pandemic and amid the Russia–Ukraine conflict

Mnif

Mouakhar

Jarboui

2022

JRF

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PurposeThe mining process is essential in cryptocurrency networks. However, it consumes considerable electrical energy, which is undoubtedly harmful to the environment. In response, energy-conserving cryptocurrency projects with reduced energy requirements or based on renewable energies have been developed. Recently, the COVID-19 pandemic and the Russian invasion of Ukraine ignited an unprecedented upheaval in financial products, especially in cryptocurrency and energy markets. Therefore, the paper aims to explore the response of these energy-conserving cryptocurrencies to the COVID-19 pandemic and the Russia–Ukraine conflict.Design/methodology/approachThis paper investigates the response of these energy-conserving cryptocurrencies to the COVID-19 pandemic and the Russia–Ukraine conflict. Their competitiveness is compared with conventional ones by analyzing their efficiency through multifractal detrended fluctuation analysis and automatic variance ratio during the COVID-19 and Russian invasion periods.FindingsThe empirical results show that all investigated energy-conserving cryptocurrencies negatively responded to the pandemic and positively reacted to the Russian invasion. On the other hand, all conventional cryptocurrencies reacted negatively to the COVID-19 pandemic and the amid-Russian attack. Besides, Bitcoin and SolarCoin were the least inefficient before the outbreak of COVID-19. Nevertheless, the Ethereum market became the most efficient after the pandemic spread. Similarly, the efficiency of Ripple was the most significant during the conflict between Russia and Ukraine. The energy crisis caused by Russia benefited the efficiency of the studied energy-conserving cryptocurrencies.Practical implicationsThis research is of interest to investors seeking opportunities in these energy-conserving cryptocurrencies and policymakers working to implement reforms to improve their market efficiency and promote long-term financial market growth.Originality/valueTo the best of the authors' knowledge, the behavior of cryptocurrencies based on renewable and reduced energy during the recent conflict between Russia and Ukraine has not been explored.

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Safe flight to which haven when Russia invades Ukraine? A 48-hour story

Cited by 48 publications

References 22 publications

Forecasting volatility during the outbreak of Russian invasion of Ukraine: application to commodities, stock indices, currencies, and cryptocurrencies

Forecasting volatility during the outbreak of Russian invasion of Ukraine: application to commodities, stock indices, currencies, and cryptocurrencies

The impact of the Russia-Ukraine conflict on energy firms: A capital market perspective

Energy-conserving cryptocurrency response during the COVID-19 pandemic and amid the Russia–Ukraine conflict

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