Wheat as a Hedge and Safe Haven for Equity Investors During the Russia-Ukraine War
This study assesses the safe haven and hedge profiles of wheat against equity markets during the Russia-Ukraine war using both DCC-GARCH and wavelet techniques. We found significant decrease in dynamic conditional correlations between wheat and these indexes, suggesting that investors may reduce portfolio risks using wheat. Moreover, we demonstrate that wheat possesses weak safe-haven potential for these markets during the war, except for the FTSE/MIB while it provides hedging benefits for DAX30, S&P500 and FTSE100. These results are confirmed by wavelet coherency, which shows that wheat provides safe haven for these assets (except FTSE/MIB), especially for medium-term investors
Year of publication: |
[2023]
|
---|---|
Authors: | Ghorbali, Bassem ; Kaabia, Olfa ; Naoui, Kamel ; Urom, Christian |
Publisher: |
[S.l.] : SSRN |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Ghorbali, Bassem, (2022)
-
Ghorbali, Bassem, (2022)
-
Financial Crises and Contagion Effects between the US and OECD Equity Markets
Abid, Ilyes, (2014)
- More ...