Should you set external links to open in new windows?

Hi,

I've been researching this somewhat and people seem quite divided. Wanted to ask the SEO community here for their take.

If you are using external links, should they be set them to open in new windows?

I want to increase engagement / reduce bounce rate. The website I am working on links to external studies to help back up their statement (in the health industry) so use this as a scenario :)