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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).

Suggested Citation

  • 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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    Keywords

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    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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