Abstract

  
 

References (15)



 
 

Citations (26)



 


 



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


Dirk G. Baur


University of Technology, Sydney (UTS) - School of Finance and Economics; Financial Research Network (FIRN)

Brian M. Lucey


Trinity College, Dublin - School of Business; University of Dublin - Institute for International Integration Studies (IIIS); Glasgow Caledonian University - Division of Accounting & Finance

Financial Review, Vol. 45, Issue 2, pp. 217-229, May 2010

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.

Number of Pages in PDF File: 13

Accepted Paper Series


Date posted: April 12, 2010  

Suggested Citation

Baur, Dirk G. and Lucey, Brian M., Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold. Financial Review, Vol. 45, Issue 2, pp. 217-229, May 2010. Available at SSRN: http://ssrn.com/abstract=1587100 or http://dx.doi.org/10.1111/j.1540-6288.2010.00244.x

Contact Information

Dirk G. Baur (Contact Author)
University of Technology, Sydney (UTS) - School of Finance and Economics ( email )
Haymarket
Sydney, NSW 2007
Australia
Financial Research Network (FIRN)
C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia
HOME PAGE: http://www.firn.org.au

Brian M. Lucey
Trinity College, Dublin - School of Business ( email )
The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)
University of Dublin - Institute for International Integration Studies (IIIS) ( email )
The Sutherland Centre, Level 6, Arts Building
Trinity College
Dublin 2
Ireland
Glasgow Caledonian University - Division of Accounting & Finance ( email )
Scotland
United Kingdom
Feedback to SSRN (Beta)


Paper statistics
Abstract Views: 513
Downloads: 2
References:  15
Citations:  26

© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright
This page was processed by apollo4 in 2.813 seconds