Please use this identifier to cite or link to this item: http://hdl.handle.net/2381/36937
Title: Diversifying away the Risk of War and Cross-Border Political Crisis
Authors: Wisniewski, Tomasz Piotr
Nolte, S.
Omar, Ayman M.A.
First Published: 4-Mar-2016
Publisher: Elsevier
Citation: Energy Economics, 2016
Abstract: 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.
DOI Link: 10.1016/j.eneco.2016.02.015
ISSN: 0140-9883
Links: http://www.sciencedirect.com/science/article/pii/S0140988316300305
http://hdl.handle.net/2381/36937
Embargo on file until: 4-Mar-2020
Version: Post-print
Status: Peer-reviewed
Type: Journal Article
Rights: Copyright © 2016, Elsevier. All rights reserved. This manuscript version is made available after the end of the embargo period under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/ 
Description: The file associated with this record is under a 48-month embargo from publication in accordance with the publisher's self-archiving policy. The full text may be available through the publisher links provided above.
Appears in Collections:Published Articles, School of Management

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