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Hedge and safe haven investing with investment styles

Ai Jun Hou (), Ian Khrashchevskyi () and Jarkko Peltomäki ()
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Ai Jun Hou: Stockholm University
Ian Khrashchevskyi: Stockholm University
Jarkko Peltomäki: Stockholm University

Journal of Asset Management, 2019, vol. 20, issue 5, 351-364

Abstract: Abstract In this paper, we investigate the role of style investing in determining hedging and safe haven assets using gold and US Treasury bonds as hedging and safe haven assets. We expect that the hedging and safe haven effects of these assets are specific to investment styles. Our results suggest that the choice of investment style is especially meaningful with regard to US Treasury bonds as a hedge. The lesson of our study is that the investment style should be taken into consideration when formulating appropriate risk management and diversification strategies to provide protection against downside risk.

Keywords: Financial markets; Safe haven; Investment style; GARCH in mean (search for similar items in EconPapers)
JEL-codes: C13 C16 C51 C52 G13 (search for similar items in EconPapers)
Date: 2019
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