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

    Rights statement: This is the author’s version of a work that was accepted for publication in Energy Economics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Energy Economics, 64, 2017 DOI: 10.1016/j.eneco.2016.02.015

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Diversifying away the risk of war and cross-border political crisis

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Diversifying away the risk of war and cross-border political crisis. / Omar, Ayman ; Wisniewski, Tomasz; Nolte, Sandra.
In: Energy Economics, Vol. 64, 05.2017, p. 494-510.

Research output: Contribution to Journal/MagazineJournal articlepeer-review

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Omar A, Wisniewski T, Nolte S. Diversifying away the risk of war and cross-border political crisis. Energy Economics. 2017 May;64:494-510. Epub 2016 Mar 4. doi: 10.1016/j.eneco.2016.02.015

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Omar, Ayman ; Wisniewski, Tomasz ; Nolte, Sandra. / Diversifying away the risk of war and cross-border political crisis. In: Energy Economics. 2017 ; Vol. 64. pp. 494-510.

Bibtex

@article{adfc86ecc73847f59f5b213a99a339f2,
title = "Diversifying away the risk of war and cross-border political crisis",
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.",
keywords = "Crude Oil Price, Safe Haven, International Crises, Wars",
author = "Ayman Omar and Tomasz Wisniewski and Sandra Nolte",
note = "This is the author{\textquoteright}s version of a work that was accepted for publication in Energy Economics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Energy Economics, 64, 2017 DOI: 10.1016/j.eneco.2016.02.015",
year = "2017",
month = may,
doi = "10.1016/j.eneco.2016.02.015",
language = "English",
volume = "64",
pages = "494--510",
journal = "Energy Economics",
issn = "0140-9883",
publisher = "Elsevier Science B.V.",

}

RIS

TY - JOUR

T1 - Diversifying away the risk of war and cross-border political crisis

AU - Omar, Ayman

AU - Wisniewski, Tomasz

AU - Nolte, Sandra

N1 - This is the author’s version of a work that was accepted for publication in Energy Economics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Energy Economics, 64, 2017 DOI: 10.1016/j.eneco.2016.02.015

PY - 2017/5

Y1 - 2017/5

N2 - 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.

AB - 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.

KW - Crude Oil Price

KW - Safe Haven

KW - International Crises

KW - Wars

U2 - 10.1016/j.eneco.2016.02.015

DO - 10.1016/j.eneco.2016.02.015

M3 - Journal article

VL - 64

SP - 494

EP - 510

JO - Energy Economics

JF - Energy Economics

SN - 0140-9883

ER -