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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

Abstract: 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.

Date: 2010
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https://doi.org/10.1111/j.1540-6288.2010.00244.x

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Working Paper: Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2007) Downloads
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The Financial Review is currently edited by Cynthia J. Campbell and Arnold R. Cowan

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