Is Gold a Safe Haven? International Evidence

35 Pages Posted: 8 Dec 2009

See all articles by Dirk G. Baur

Dirk G. Baur

University of Western Australia - Business School; Financial Research Network (FIRN)

Thomas K. J. McDermott

University of Galway

Date Written: September 1, 2009


The aim of this paper is to examine the role of gold in the global financial system. We test the hypothesis that gold represents a safe haven against stocks of major emerging and developing countries. A descriptive and econometric analysis for a sample spanning a 30 year period from 1979-2009 shows that gold is both a hedge and a safe haven for major European stock markets and the US but not for Australia, Canada, Japan and large emerging markets such as the BRIC countries. We also distinguish between a weak and strong form of the safe haven and argue that gold may act as a stabilizing force for the financial system by reducing losses in the face of extreme negative market shocks. Looking at specific crisis periods, we find that gold was a strong safe haven for most developed markets during the peak of the recent financial crisis.

Keywords: gold, safe haven, financial markets, uncertainty

JEL Classification: G10, G11, G14, G15

Suggested Citation

Baur, Dirk G. and McDermott, Thomas K. J., Is Gold a Safe Haven? International Evidence (September 1, 2009). Available at SSRN: or

Dirk G. Baur (Contact Author)

University of Western Australia - Business School ( email )

School of Business
35 Stirling Highway
Crawley, Western Australia 6009

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane


Thomas K. J. McDermott

University of Galway ( email )

University Road
Galway, Co. Galway

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