Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold
Dirk Baur () and
Brian Lucey ()
The Financial Review, 2010, vol. 45, issue 2, 217-229
Is gold a hedge, defined as a security that is uncorrelated with stocks or bonds on average, or is it a safe haven, defined as a security that is uncorrelated with stocks and bonds in a market crash? We study constant and time‐varying relations between U.S., U.K. and German stock and bond returns and gold returns to investigate gold as a hedge and a safe haven. We find that gold is a hedge against stocks on average and a safe haven in extreme stock market conditions. A portfolio analysis further shows that the safe haven property is short‐lived.
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Working Paper: Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:bla:finrev:v:45:y:2010:i:2:p:217-229
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