Boris Pastén-Henríquez , Pablo Tapia-Griñen , Jorge Sepúlveda-Velásquez
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引用次数: 0
Abstract
During wartime, investors seek safe havens for various assets, creating volatility in the financial markets. This study analyzes the safe-haven capacity of a group of assets during the Russia–Ukraine and Palestine–Israel conflicts. Using DCCGARCH and event study, we find that assets with an upward correlation with the market before the conflict, which we define as a positive , manifest safe-haven asset capacity and potentially bullish returns. These results could be key in the design of investment strategies.
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