Słowa kluczowe
gold
silver
natural gas
Bitcoin
dynamic correlation
Kategorie
Jak cytować
Abstrakt
Two years ago, on 24 February 2022, Russia launched a multi-front attack against Ukraine, which was the largest military action against a European country since World War II. The aim of this paper is to compare the performance of safe haven assets after Russian aggression on Ukraine. We investigate the dynamic relationship between the countries: France, Germany, Great Britain, Japan, Poland, and the United States of America, and popular instruments: gold, silver, natural gas, crude oil, U.S. dollar (or Euro), Swiss franc, and Bitcoin. By choosing different countries we want to compare the influence of Russian aggression in Ukraine on the various market economies. We considered the period after Russian aggression in Ukraine, to be from 01.02.2022 – 01.03.2024. We estimate the parameters of DCC or CCC models to compare the dynamic relationship between the above-mentioned stock markets and financial instruments. The result shows that mostly, natural gas can be considered as a safe haven instrument during that time sample. For investors from Germany, Great Britain, and the USA we can observe that four out of seven instruments were able to act like safe haven assets. Surprisingly, only Bitcoin was not identified as a safe haven instrument for any country.
Bibliografia
Akhtaruzzaman, Md., Boubaker, S., Lucey, B.M., and Sensoy,A. (2021). Is gold a hedge or a safe-haven asset in the COVID-19 crisis? Economic Modelling, 102, 105588
Aye, G.C., Carcel, H., Gil-Alana, L.A., Gupta, R. (2017). Does gold act as a hedge against inflation in the UK? Evidence from a fractional cointegration approach over 1257 to 2016, Resources Policy, 54, https://doi.org/10.1016/j.resourpol.2017.09.001.
Baur, D.G., and Lucey, B.M. (2010). Is gold a hedge or a safe-haven? An analysis of stocks, bonds and gold. Financial Review, 45, 217–229.
Baur, D.G., and McDermott, T.K. (2010). Is gold a safe haven? International evidence. Journal of Banking & Finance 34, 1886-1898.
Baur, D.G., and Glover K.J. (2016). The destruction of a safe haven asset? Applied Finance Letters, 1 (1), 8-15
Beckmann, J., Berger, T., and Czudaj, R. (2015). Does gold act as a hedge or a safe-haven for stocks? A smooth transition approach. Economic Modelling, 48, 16–24.
Będowska-Sójka, B., Kliber, A. (2021). Is there one safe-haven for various turbulences? The evidence from gold, Bitcoin and Ether. The North American Journal of Economics and Finance, 56
Bollerslev, T. (1990). Modelling the coherence in short run nominal exchange rates: A multivariate generalized arch model. The Review of Economics and Statistics, 72, 498–505.
Bouri, E., Shahzad, S., Roubaud, D., Kristoufek, L., and Lucey, B. (2020). Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis. The Quarterly Review of Economics and Finance. https://doi.org/10.1016/j.qref.2020.03. 004.
Bredin, D., Conlon, T., and Potì, V. (2017). The price of shelter - Downside risk reduction with precious metals. International Review Financial Analysis, 49, 48-58
Chemkha, R., BenSaïda, A., Ghorbel, A., and Tayachi, T. (2021). Hedge and safe haven properties during COVID-19: Evidence from Bitcoin and gold. The Quarterly Review of Economics and Finance, 82, 71–85. http://dx.doi.org/10.1016/j.qref.2021.07.006.
Conlon, T., Corbet, S., and McGee, R. J. (2020). Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic. Research in International Business and Finance, 54, Article 101248. http://dx.doi.org/10.1016/j.ribaf.2020.101248
Conlon, T., McGee, R. (2020). Safe haven or risky hazard? Bitcoin during the Covid-19 bear market. Finance Research Letters, 35, Article 101607. http://dx.doi.org/10.1016/j.frl.2020.101607
Dee, J., Li, L., and Zheng, Z. (2013). Is Gold a hedge or a safe haven? Evidence from inflation and stock market. International Journal of Development and Sustainability, 2, 12-27
Engle, R.F. (2002) Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics 20; 339
Glosten, L., Jagannathan, R., Runkle, D. (1993), Relationship between the expected value and volatility of the nominal excess returns on stocks. Journal of Finance, 48, 1779-1802. https://doi.org/10.1111/j.1540-6261.1993.tb05128.x
Grisse, C., and Nitschka, T. (2015) On financial risk and the safe-haven characteristics of Swiss Franc exchange rates. Journal of Empirical Finance, 32, pp 153–164.
Hillier, D., Draper, P., and Faff, R. (2006). Do precious metals shine? An investment perspective. Financial Analysts Journal 62, 98-106.
Hood, M., and Malik, F. (2013). Is gold the best hedge and a safe-haven under changing stock market volatility? Review of Financial Economics, 22, 47–52.
Jensen, A., and Lange, T. (2007, November 30), Addressing the IGARCH puzzle. https://citeseerx.ist.psu.edu/document?repid=rep1&type=pdf&doi=cb0ff3ebe7ac4f1907b477bd6593dcb7cd013cab
Ji, Q., Zhang, D., and Zhao, Y. (2020). Searching for safe-haven assets during the COVID-19 pandemic. International Review Financial Analysis,70, 101526
Kaul, A., and Sapp, S. (2006). Y2K fears and safe haven trading of the US dollar. Journal of International Money and Finance 25, 760-779
Klein, T. (2017). Dynamic correlation of precious metals and flight-to-quality in developed markets. Financial Research Letters, 23 (C) (2017), 283-290
Lahiani, A., Mefteh-Wali, S., and Vasbieva, D.G. (2021). The safe-haven property of precious metal commodities in the COVID-19 era. Resources Policy, 74
Lucey, B. M., and Li, S. (2015). What precious metals act as safe havens, and when? Some US evidence. Applied Economics Letters, 22(1), 35–45.
Łęt, B., Siemaszkiewicz, K. (2020). Looking for alternatives in times of market stress: A tail dependence between the european stock markets and bitcoin, gold and fine wine market. Czech Journal of Economics and Finance (Finance a uver), 70(5), 407–430. http://dx.doi.org/10.32065/CJEF.2020.05.02, U
Nakatani, T., and Teräsvirta, T. (2009) Appendix to Testing for volatility interactions in the constant conditional correlation GARCH model, Department of Economic Statistics, Stockholm School of Economics
Raheem, I. D. (2021). COVID-19 pandemic and the safe haven property of Bitcoin. The Quarterly Review of Economics and Finance, 81, 370–375. http://dx.doi.org/10.1016/j.qref.2021.06.004
Ranaldo, A., and Söderlind, P. (2010) Safe Haven Currencies, Review of Finance, European Finance Association, 14(3), pp 385-407.
Rubbaniy, G., Khalid, A. A., and Samitas, A. (2021). Are cryptos safe-haven assets during covid-19? evidence from wavelet coherence analysis, Emerging Markets Finance and Trade, 57(6), 1741–1756. http://dx.doi.org/10.1080/1540496X.2021.1897004
Salisu, A.A., Raheem, I.R., Ndako, U.B. (2020) The inflation hedging properties of gold, stocks and real estate: A comparative analysis, Resources Policy, 66, https://doi.org/10.1016/j.resourpol.2020.101605.
Sadorsky, P. (2014), Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat, Energy Economics, 43, (C), 72-81
Shahzad, S.J.H., Raza, N., Roubaud, D., Hernandez, J.A., and Bekiros, S. (2019a) Gold as safe haven for G-7 stocks and bonds: a revisit. Journal of Quantitative Economics, 17, 885-912
Shahzad, S.J.H., Bouri, E., Roubaud, D., Kristoufek, L., and Lucey, B. (2019b) Is Bitcoin a better safe haven investment than gold and commodities? International Review Financial Analysis 63, 322-330
Wu, F., Zhao, W., Ji, Q., and Zhang, D. (2020). Dependency, centrality and dynamic networks for international commodity futures prices. International Review of Economics and Finance, 67, 118–132.
Xia, T., Ji, Q., Zhang, D., and Han, J. (2019). Asymmetric and extreme influence of energy price changes on renewable energy stock performance. Journal of Cleaner Production, 241, 118338.
Utwór dostępny jest na licencji Creative Commons Uznanie autorstwa – Użycie niekomercyjne 4.0 Międzynarodowe.
Prawa autorskie (c) 2024 Karolina Siemaszkiewicz