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

被引：1405

作者：

Baur, Dirk G. ^{[1
,2
]}

Lucey, Brian M. ^{[3
,4
]}

机构：

[1] Univ Technol Sydney, Sch Finance & Econ, POB 123, Broadway, NSW 2007, Australia

[2] Dublin City Univ, Sch Business, POB 123, Broadway, NSW 2007, Australia

[3] Trinity Coll Dublin, Sch Business, Dublin, Ireland

[4] Trinity Coll Dublin, Inst Int Integrat Studies, Dublin, Ireland

来源：

FINANCIAL REVIEW | 2010年 / 45卷 / 02期

关键词：

safe haven; hedge; gold; stock-bond correlation; flight-to-quality;

D O I：

10.1111/j.1540-6288.2010.00244.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：217 / 229

页数：13

共 15 条

[1] Psychological barriers in gold prices? [J].