Title: | Investigating the optimal safe haven assets: A wavelet-based analysis of geopolitical risk index, breakpoints, and asset performance |
Author(s): | Nguyễn Đoàn Hải Dương |
Advisor(s): | Nguyễn Quang Bình |
Keywords: | Safe-haven assets; Geopolitical risks; Structural break analysis; Volatility; Portfolio diversification |
Abstract: | This study assesses the function of safe-haven assets amid geopolitical risks, employing the Wavelet method, structural break analysis, and causality testing. The findings indicate that gold (XAU) serves as the most stable safe-haven asset, exhibiting a significant response to GPR over an extended period. The DXY exhibits defensive characteristics; however, it is affected by macroeconomic factors. Platinum (XPT) and silver (XAG) exhibit correlation with GPR; however, they demonstrate greater volatility compared to gold. Bitcoin (BTC) and Ethereum (ETH) exclusively respond to GPR_plus, suggesting restricted safe-haven capabilities. Palladium (XPD) is primarily driven by industrial demand. Breakpoint analysis indicates that Bitcoin and Ethereum exhibit significant volatility, whereas the S&P 500 and WTI oil demonstrate pronounced reactions to macroeconomic shocks. Granger causality tests demonstrate that GPR has predictive capability for the prices of Ethereum and platinum, whereas the S&P 500 influences WTI and DXY. This study offers significant insights into portfolio diversification and risk management amid volatile geopolitical conditions |
Issue Date: | 2025 |
Publisher: | University of Economics Ho Chi Minh City |
Series/Report no.: | Giải thưởng Nhà nghiên cứu trẻ UEH 2025 |
URI: | https://digital.lib.ueh.edu.vn/handle/UEH/76269 |
Appears in Collections: | Nhà nghiên cứu trẻ UEH
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