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Safe-Haven Assets And Strategic Risk Management Under Geopolitical Uncertainty: Evidence From Wavelet And Ann Analysis

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  • Naima BENTOUIR

Abstract

The most relevant question of the present paper would be to ascertain which safe-haven assets could be most beneficial use by investors between January 1, 2022, and June 19, 2025 when there is a high amount of stress on the market owing to geopolitical uncertainties. The dataset consists of daily data of asset classes that are vital to study, such as commodities (gold and crude oil), stocks (S&P 500), and cryptocurrencies (Bitcoin) in addition to the independent variables, such as Geopolitical Risk Index (GPR), Fear Index (VIX), U.S. Dollar Index (DXY). Artificial neural networks (ANN) and wavelet coherence transformation are used to provide the prediction ability and the time-scale relation dependence. As per our research, whenever the tensions are at a peak between geopolitical players gold is always the most reliable safe haven and then oil. Conversely, during stress bitcoin and other cryptocurrencies are the least predictable and stable assets. The findings are useful to investors because they consider making better asset allocation decisions in uncertain global environment and have more practical implications of portfolio risk management.

Suggested Citation

  • Naima BENTOUIR, 2025. "Safe-Haven Assets And Strategic Risk Management Under Geopolitical Uncertainty: Evidence From Wavelet And Ann Analysis," Proceedings of the INTERNATIONAL MANAGEMENT CONFERENCE, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 19(1), pages 222-234, October.
    • Handle: RePEc:rom:mancon:v:19:y:2025:i:1:p:222-234
    DOI: 10.24818/IMC/2025/03.01
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    References listed on IDEAS

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    1. Aloui, Chaker & Mejri, Sami & Ben Hamida, Hela & Yildirim, Ramazan, 2025. "Green bonds and clean energy stocks: Safe havens against global uncertainties? A wavelet quantile-based examination," The North American Journal of Economics and Finance, Elsevier, vol. 76(C).
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    3. Habib, Maurizio Michael & Stracca, Livio & Venditti, Fabrizio, 2020. "The fundamentals of safe assets," Journal of International Money and Finance, Elsevier, vol. 102(C).
    4. David Y. Aharon & Zaghum Umar & Xuan Vinh Vo, 2021. "Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-25, December.
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