Is Gold a Hedge or a Safe Haven? An Analysis of Stocks,Bonds and Gold |
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| Authors: | Dirk G Baur Brian M Lucey |
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| Institution: | 1. Dublin City University, Business School;2. School of Business and Institute for International Integration Studies, Trinity College Dublin |
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| 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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| Keywords: | safe haven hedge gold stock‐bond correlation flight‐to‐quality G10 G11 G14 G15 |
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