Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold

Dirk G. Baur, Brian Lucey

Research output: Contribution to journalArticle

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.
Original languageEnglish
Pages (from-to)217–229
Number of pages13
JournalFinancial Review
Volume45
Issue number2
DOIs
Publication statusPublished - May 2010

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Hedge
Safe haven
Market conditions
Portfolio analysis
Stock returns
Time-varying
Market crash
Bond returns
Stock market

Keywords

  • stocks
  • bonds
  • financial analysis
  • market crash

Cite this

Baur, Dirk G. ; Lucey, Brian. / Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. In: Financial Review. 2010 ; Vol. 45, No. 2. pp. 217–229.
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Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. / Baur, Dirk G.; Lucey, Brian.

In: Financial Review, Vol. 45, No. 2, 05.2010, p. 217–229.

Research output: Contribution to journalArticle

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