Diversifying away the Risk of War and Cross-Border Political Crisis

By Ayman Omar, Tomasz P. Wiśniewski, Sandra Nolte. 2017

118 citations recorded by the source corpus.

This paper investigates the behavior of crude oil prices, government bonds, and stock market indices around outbreaks of severe international crises and wars. Using a constant mean return event study, we show that these events are associated with positive and significant abnormal returns on oil and bonds, which means that these two asset classes can potentially shelter shareholders from plummeting equity values during international crises. A formal safe haven analysis confirms this insight. Such price movements may reflect a reallocation of funds across asset classes in response to the events, as well as shifts in the demand for oil due to precautionary, speculative, and military motives. We also calculate the weights for optimal portfolios, which could provide insurance against conflict risk.

Subfields: Economics and Econometrics, General Energy

View Paper: https://www.semanticscholar.org/paper/6e1140477376740fb34b6dd2111256752e960d19

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

  1. Rangan Gupta
  2. Nikolaos Antonakakis
  3. Stephanos Papadamou
  4. C. Kollias
  5. David Gabauer
  6. Elie Bouri
  7. George Filis
  8. Stavros Degiannakis *

In General Energy

  1. Rangan Gupta

Citations in the corpus