Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold

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 an...

Full description

Saved in:
Bibliographic Details
Published in:The Financial review (Buffalo, N.Y.) N.Y.), 2010-05, Vol.45 (2), p.217-229
Main Authors: Baur, Dirk G., Lucey, Brian M.
Format: Article
Language:English
Subjects:
Bonds
Correlation analysis
flight-to-quality
G10
G11
G14
G15
Gold
hedge
Rates of return
safe haven
Securities markets
Stock exchanges
stock-bond correlation
Studies
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary: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.
ISSN:0732-8516
1540-6288
DOI:10.1111/j.1540-6288.2010.00244.x