Does bullion appeal as a hedge or a safe haven for oil wild ride during the Russia-Ukraine war? A wavelet approach

Abstract

In this research, we empirically evaluate whether Indian bullion market instruments glitter as a hedge or a safe haven against oil volatility shock before and during the Russia-Ukraine war. The wavelet coherence mechanism is used to encapsulate the hedge or a safe haven potential over the time-frequency horizon. We find evidence that gold and silver act as a medium horizon investment hedge for crude oil during pre - and invasion periods. However, the results unveil that gold and silver act as a weak safe haven for crude oil during the turmoil period, partly consistent with the prior research findings. The results further show that there is a positive relationship between gold and oil at the beginning of the war and at intervals, 29/06/2022 to 15/07/2022, illustrating that gold acts as a diversifier for crude oil.