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Hedge and safe haven investing with investment styles

Author

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  • Ai Jun Hou

    (Stockholm University)

  • Ian Khrashchevskyi

    (Stockholm University)

  • Jarkko Peltomäki

    (Stockholm University)

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.

Suggested Citation

  • Ai Jun Hou & Ian Khrashchevskyi & Jarkko Peltomäki, 2019. "Hedge and safe haven investing with investment styles," Journal of Asset Management, Palgrave Macmillan, vol. 20(5), pages 351-364, September.
    • Handle: RePEc:pal:assmgt:v:20:y:2019:i:5:d:10.1057_s41260-019-00127-3
    DOI: 10.1057/s41260-019-00127-3
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    References listed on IDEAS

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    Cited by:

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    2. Hampl, Filip & Vágnerová Linnertová, Dagmar & Horváth, Matúš, 2024. "Crypto havens during war times? Evidence from the Russian invasion of Ukraine," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
    3. Muhammad Abubakr Naeem & Mudassar Hasan & Muhammad Arif & Syed Jawad Hussain Shahzad, 2020. "Can Bitcoin Glitter More Than Gold for Investment Styles?," SAGE Open, , vol. 10(2), pages 21582440209, May.
    4. Syed Kumail Abbas Rizvi & Nawazish Mirza & Bushra Naqvi & Birjees Rahat, 0. "Covid-19 and asset management in EU: a preliminary assessment of performance and investment styles," Journal of Asset Management, Palgrave Macmillan, vol. 0, pages 1-11.

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    More about this item

    Keywords

    Financial markets; Safe haven; Investment style; GARCH in mean;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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