Research topic
Safe havens, hedging and geopolitical risk
We test whether gold, cryptocurrencies, commodities and other asset classes act as hedges or safe havens when markets face geopolitical conflict, pandemic stress or energy-price shocks.
Main questions
Which asset classes hedged the Russian invasion of Ukraine, and do the answers hold across other conflicts? Is there one safe haven for different kinds of turbulence? Do cryptocurrencies hedge oil price fluctuations, and do proof-of-work and proof-of-stake coins differ as hedges against green and dirty energy? When does an apparent safe haven turn out to be a false one?
Methods
Event-based and time-varying hedge and safe-haven tests, dynamic conditional correlations, volatility spillovers and portfolio strategies with volatility targeting.
Publications (10)
Is there an impact of Ethereum Merge on the relationship between this cryptocurrency and energy portfolios?
Będowska-Sójka, B., Kliber, A. (2025). SSRN Working Paper.
Do investors in dirty and clean cryptocurrencies care about energy efficiency in the same way?
Będowska-Sójka, B., Kliber, A. (2024). Finance Research Letters, 67, 105852.
Proof-of-work versus proof-of-stake coins as possible hedges against green and dirty energy
Kliber, A., Będowska-Sójka, B. (2024). Energy Economics, 138, 107820.
Uncertainty and cryptocurrency returns: A lesson from turbulent times
Będowska-Sójka, B., Górka, J., Hemmings, D., Zaremba, A. (2024). International Review of Financial Analysis, 94, 103330.
Can cryptocurrencies hedge oil price fluctuations? A pandemic perspective
Będowska-Sójka, B., Kliber, A. (2022). Energy Economics, 115, 106360.
False safe haven assets: Evidence from the target volatility strategy based on recurrent neural network
Kaczmarek, T., Będowska-Sójka, B., Grobelny, P., Perez, K. (2022). Research in International Business and Finance, 60, 101610.
Hedging geopolitical risks with different asset classes: A focus on the Russian invasion of Ukraine
Będowska-Sójka, B., Demir, E., Zaremba, A. (2022). Finance Research Letters, 50, 103192.
Is geopolitical risk priced in the cross-section of cryptocurrency returns?
Long, H., Demir, E., Będowska-Sójka, B., Zaremba, A., Shahzad, S.J.H. (2022). Finance Research Letters, 49, 103131.
The lithium and oil markets – dependencies and volatility spillovers
Będowska-Sójka, B., Górka, J. (2022). Resources Policy, 78, 102901.
Is there one safe-haven for various turbulences? The evidence from gold, Bitcoin and Ether
Będowska-Sójka, B., Kliber, A. (2021). The North American Journal of Economics and Finance, 56, 101390.
Conference talks (12)
When Wars Move Markets: Hedging Properties of Asset Classes Across Recent Geopolitical Conflicts
ISAFE 2026, Beijing, China, June 2026
Hedging Geopolitical Risks with Different Asset Classes: A Comparative Analysis of the Ukrainian and Iranian Conflicts
Forecasting Financial Markets (FFM) 2026, Milan, Italy, June 2026
Is There an Impact of Ethereum Merge on the Relationship Between This Cryptocurrency and Energy Portfolios?
World Finance Conference 2025, Valletta, Malta, July 2025
Is There an Impact of the Ethereum Merge on the Relationship Between Ethereum and Energy Portfolios?
1st Modern Finance Conference, Warsaw, Poland, September 2024
Do Uncertainty Indices Affect Cryptocurrency Uncertainty: A Lesson from Turbulent Times
Allied Social Science Associations (ASSA) Annual Meeting, San Antonio, TX, USA, January 2024
Do Uncertainty Indices Affect Cryptocurrencies? Lesson from the Turbulent Times
CFE-CMStatistics 2023, Berlin, Germany, December 2023
PoW vs PoS Coins as Possible Hedges Against Green and Dirty Energy
2nd Conference on International Finance, Sustainable and Climate Finance and Growth (CINSC), Ljubljana, Slovenia, June 2023
Do Uncertainty Indices Affect Cryptocurrencies? Lesson from the Turbulent Times
2nd Conference on International Finance, Sustainable and Climate Finance and Growth (CINSC), Ljubljana, Slovenia, June 2023
Do Uncertainty Indices Affect Cryptocurrencies? Lesson from the Turbulent Times
Sopot Conference on Modelling Contemporary Economies (Modelowanie i prognozowanie gospodarki narodowej), Sopot, Poland, May 2023
PoW vs PoS Coins as Possible Hedges Against Green and Dirty Energy
2nd Workshop on Environmental Finance for the Common Good – Diversity Challenges for Sustainable Fintech, COST Action CA19130, Pavia, Italy, April 2023
Dynamic Dependence and Volatility Spillovers on the Lithium and Oil Markets
Future Finance Conference, Naples, Italy, June 2022
Can Cryptocurrencies Hedge Oil Price Fluctuations? A Pandemic Perspective
Euro Working Group for Commodities and Financial Modelling & XIX International Conference on Finance and Banking (FIBA 2022), online, May 2022