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

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  • Mohamad, Azhar

Abstract

We examine the flight-to-safety phenomenon from ruble (risky asset) to other safe-haven assets at the onset of the Russian invasion of Ukraine on 24 February 2022. We find evidence of flight-to-safe-haven occurrences from the ruble to the USD, yen, silver, Brent, WTI and natural gas as indicated by negative dynamic conditional correlations between these assets. Price discovery surrounding the invasion is found to be dominated by Brent and bitcoin. Further, we observe the presence of herding behaviours between energy commodities (Brent, WTI, gasoline and natural gas) and cryptocurrencies (bitcoin, ethereum and litecoin).

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  • Mohamad, Azhar, 2022. "Safe flight to which haven when Russia invades Ukraine? A 48-hour story," Economics Letters, Elsevier, vol. 216(C).
    • Handle: RePEc:eee:ecolet:v:216:y:2022:i:c:s0165176522001598
    DOI: 10.1016/j.econlet.2022.110558
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    7. Batten, Jonathan A. & Boubaker, Sabri & Kinateder, Harald & Choudhury, Tonmoy & Wagner, Niklas F., 2023. "Volatility impacts on global banks: Insights from the GFC, COVID-19, and the Russia-Ukraine war," Journal of Economic Behavior & Organization, Elsevier, vol. 215(C), pages 325-350.
    8. Kashif Zaheer & Faheem Aslam & Yasir Tariq Mohmand & Paulo Ferreira, 2024. "On the Dynamic Changes in the Global Stock Markets’ Network during the Russia–Ukraine War," Economies, MDPI, vol. 12(2), pages 1-27, February.
    9. Piotr Fiszeder & Marta Ma³ecka, 2022. "Forecasting volatility during the outbreak of Russian invasion of Ukraine: application to commodities, stock indices, currencies, and cryptocurrencies," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 17(4), pages 939-967, December.
    10. Nerlinger, Martin & Utz, Sebastian, 2022. "The impact of the Russia-Ukraine conflict on energy firms: A capital market perspective," Finance Research Letters, Elsevier, vol. 50(C).
    11. Lien, Donald, 2022. "Comparisons of Alternative Information Share Measures," Finance Research Letters, Elsevier, vol. 50(C).
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    15. Mohamad, Azhar & Fromentin, Vincent, 2023. "Herd and causality dynamics between energy commodities and ethical investment: Evidence from the different phases of the COVID-19 pandemic," Energy Economics, Elsevier, vol. 126(C).
    16. Domenico Depalo, 2024. "Gloomy expectations after the invasion of Ukraine," Empirical Economics, Springer, vol. 67(1), pages 97-109, July.
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    18. Md. Kausar Alam & Mosab I. Tabash & Mabruk Billah & Sanjeev Kumar & Suhaib Anagreh, 2022. "The Impacts of the Russia–Ukraine Invasion on Global Markets and Commodities: A Dynamic Connectedness among G7 and BRIC Markets," JRFM, MDPI, vol. 15(8), pages 1-20, August.
    19. Pandey, Dharen Kumar & Assaf, Rima & Rai, Varun Kumar, 2023. "Did the Indian stock market sail the Russia-Ukraine storm safely?," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
    20. Mejri, Sami & Aloui, Chaker & Khan, Nasir, 2024. "The gold stock nexus: Assessing the causality dynamics based on advanced multiscale approaches," Resources Policy, Elsevier, vol. 88(C).
    21. Kamal, Md Rajib & Wahlstrøm, Ranik Raaen, 2023. "Cryptocurrencies and the threat versus the act event of geopolitical risk," Finance Research Letters, Elsevier, vol. 57(C).
    22. Rivera-Alonso, David & Iglesias, Emma M., 2024. "Is the Chinese crude oil spot price a good hedging tool for other crude oil prices, and in special for the main Russian oil benchmarks and during international sanctions?," Resources Policy, Elsevier, vol. 90(C).

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    More about this item

    Keywords

    Flight-to-safety; Safe haven; Ruble; Bitcoin; Price discovery; Herding;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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