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

Keywords

  • stocks
  • bonds
  • financial analysis
  • market crash

Fingerprint Dive into the research topics of 'Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold'. Together they form a unique fingerprint.

  • Cite this