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 DCC-GARCH and event study, we find that assets with an upward correlation with the market before the conflict, which we define as a positive push, manifest safe-haven asset capacity and potentially bullish returns. These results could be key in the design of investment strategies.