2.2 FUNDAMENTACION TEORICA
2.2.7 DESARROLLO CLÍNICO
2.2.7.3 D escripción de la elaboración del aparato restrictor removible
13
Regrettably, the unemployment time series only starts in 1991, which limited the number of observations in the models utilizing this variable.
This paper examined the behavior of WTI crude oil prices, the World Government Bond
Index and stock market indices around the dates when international hostilities were triggered.
Using the ICB database, we focused on 64 instances of intense international crisis, out of
which 43 cases could be classified as full-blown wars. By employing a standard event study
methodology, we documented that oil and international sovereign bond index returns tend to
be abnormally elevated close to the trigger dates. The magnitude of these price changes was
found to be both statistically and economically significant. At the same time, militarized
disputes proved to be detrimental to the wealth of both U.S. and international shareholders.
The logical implication arising from such constellations in asset returns is that crude
petroleum and world government bonds could have a role to play in risk management. The
question of whether oil and bonds can offer protection was formally addressed here using and
extending the definition of safe haven put forward by Baur and Lucey (2010). We found that
the answer to this question is in the affirmative. Three factors highlight the importance of our
findings. Firstly, information related to future outbreaks of violent political conflicts might
not be available to investors in advance. Secondly, we document the significant negative
effect of wars and intense crises on the returns of U.S. and international equities. Thirdly,
correlations between stocks can increase during crisis periods due to contagion, dwarfing any
diversification benefits for portfolios invested in shares alone (Chiang et al., 2007). Thus,
equity market investors may want to allocate a fraction of their portfolio to crude petroleum
and world sovereign bonds. This is in sharp contrast to a strategy of diversifying entirely in
stocks; as such strategy may prove incomplete and ineffective in times of market turmoil.
Oil shocks and wars pose significant dangers, but both of these risks can be mitigated by
taking a long position on crude oil. Nandha and Faff (2008) and Arouri et al. (2012) have
previously alluded to the fact that oil could be a useful commodity for the purposes of
diversification. We concur and additionally note that the diversification benefits are likely to
negative relationship between world government bonds and stocks during periods of
international political hostilities calls for the use of the fixed-income securities in diversifying
equity portfolios. This is in line with evidence on the presence of flights from stock markets
to the safety and liquidity of the sovereign bond markets in times of financial turmoil (Baur
and Lucey, 2009; and Hartmann et al., 2004).
Several practical issues need to be contemplated at this stage. As physical possession of
oil is troublesome for most investors, a long position could be taken in the “paper market”
instead. Oil futures and oil ETFs are suitable vehicles to accomplish this goal. Geman and
Kharoubi (2008) advocate the use of NYMEX WTI crude oil futures with 18 month maturity
to diversify a portfolio of stocks. Furthermore, we do not recommend using oil stocks as a
substitute for holding crude petroleum. Given the current industry structure, most of the
windfall gains arising from oil price increases accrue to host governments, rather than the
international oil companies (Stevens, 2005). Finally, it would not be prudent to switch in and
out of an oil position depending on a subjectively perceived probability of war. Governments
could stockpile supplies well in advance of any secretly planned military operations and to a
casual observer the dynamics of the oil price may be understood only with the benefit of
hindsight. In our judgment, oil holdings should be a permanent feature of a well-constructed
portfolio. Our results from optimization indicate that a properly diversified portfolio should
aim to contain between 16.53% of its value in crude oil, unless the portfolio is loaded heavily
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Figure I
Price Evolution of Different Asset Classes
S&P 500 MSCI World Index
MSCI World Excl. U.S. WTI Crude Oil
World Government Bond Index
The diagrams above plot the prices of crude oil and equity indices used in this study starting from January 1987 to December 2007. The graphical depiction of the World Government Bonds Index series is for the period from January 1995 to December 2007.
Figure II
Intervals around the Trigger Date
The figure above illustrates the timing sequence of the event study. 𝐼𝐼𝑜𝑜 denotes the conflict trigger date, whereas 𝑇𝑇1 and 𝑇𝑇2 are the number of days before and after the event date, respectively.
Figure III
Cumulative Average Abnormal Returns around Conflict Trigger Dates
Panel A. The War Sample Panel B. The International Crisis Sample
WTI Crude Oil WTI Crude Oil
World Government Bond Index World Government Bond Index
S&P 500 S&P 500 0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 14.00% -50 -40 -30 -20 -10 0 10 20 30 40 50 0.00% 2.00% 4.00% 6.00% 8.00% 10.00% -50 -40 -30 -20 -10 0 10 20 30 40 50 -1.00% 0.00% 1.00% 2.00% 3.00% 4.00% -50 -40 -30 -20 -10 0 10 20 30 40 50 -1.00% 0.00% 1.00% 2.00% 3.00% 4.00% -50 -40 -30 -20 -10 0 10 20 30 40 50 -5.00% -4.00% -3.00% -2.00% -1.00% 0.00% 1.00% -50 -40 -30 -20 -10 0 10 20 30 40 50 -4.00% -3.00% -2.00% -1.00% 0.00% 1.00% -50 -40 -30 -20 -10 0 10 20 30 40 50
Figure III Continued
The graphs above plot Cumulative Average Abnormal Returns (CAARs) in the (-50,50) event windows, where day 0 denotes the war/crisis trigger date. The CAARs are measured on the vertical access, while days relative to the event appear on the horizontal axis. Panel A shows the diagrams for a sample of 43 wars, while the results in Panel B are based on 64 instances of severe international crisis. For the World Government Bond Index, the war sample and the international crisis sample comprise 21 and 32 events, respectively.
MSCI World MSCI World
MSCI World excl. U.S. MSCI World excl. U.S.