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

Baur, DG; Lucey, BM

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

Baur, DG Lucey, BM

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Publisher:: InterScience
Publication Type:: Journal Article
Citation:: The Financial Review, 2010, 45 (2), pp. 217 - 229
Issue Date:: 2010-01

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Field	Value	Language
dc.contributor.author	Baur, DG	en_US
dc.contributor.author	Lucey, BM	en_US
dc.date.issued	2010-01	en_US
dc.identifier.citation	The Financial Review, 2010, 45 (2), pp. 217 - 229	en_US
dc.identifier.issn	1540-6288	en_US
dc.identifier.uri	http://hdl.handle.net/10453/14038
dc.description.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.	en_US
dc.publisher	InterScience	en_US
dc.relation.ispartof	The Financial Review	en_US
dc.title	Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold	en_US
dc.type	Journal Article
utslib.citation.volume	2	en_US
utslib.citation.volume	45	en_US
utslib.for	150201 Finance	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	true	en_US
pubs.issue	2	en_US
pubs.volume	45	en_US

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.

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http://hdl.handle.net/10453/14038