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Wheat as a hedge and safe haven for equity investors during the Russia–Ukraine war

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  • Ghorbali, Bassem
  • Kaabia, Olfa
  • Naoui, Kamel
  • Urom, Christian
  • Slimane, Ikrame Ben

Abstract

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 the chosen indexes, suggesting that investors may reduce portfolio risks using wheat. Moreover, we demonstrate that wheat possesses weak safe-haven potential for equity indexes during the war, except for the FTSE/MIB while it provides hedging benefits for DAX30, S&P500 and FTSE100. These results are confirmed by our further analysis using wavelet coherency, which shows that wheat provides safe haven for these assets (except FTSE/MIB), especially for medium-term investors.

Suggested Citation

  • Ghorbali, Bassem & Kaabia, Olfa & Naoui, Kamel & Urom, Christian & Slimane, Ikrame Ben, 2023. "Wheat as a hedge and safe haven for equity investors during the Russia–Ukraine war," Finance Research Letters, Elsevier, vol. 58(PC).
    • Handle: RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323009066
    DOI: 10.1016/j.frl.2023.104534
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    References listed on IDEAS

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    Cited by:

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    2. Abakah, Emmanuel Joel Aikins & Abdullah, Mohammad & Tiwari, Aviral Kumar & Wali Ullah, G M, 2024. "Asymmetric dynamics between geopolitical conflict sentiment and cryptomarkets," Research in International Business and Finance, Elsevier, vol. 69(C).
    3. Xuewei Zhou & Zisheng Ouyang & Rangan Gupta & Qiang Ji, 2024. "Time-Varying Multilayer Networks Analysis of Frequency Connectedness in Commodity Futures Markets," Working Papers 202422, University of Pretoria, Department of Economics.

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    More about this item

    Keywords

    Wheat; Equity market; DCC-GARCH; Russia–Ukraine war; Safe-haven; Hedge;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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