期刊
FINANCIAL REVIEW
卷 45, 期 2, 页码 217-229出版社
WILEY
DOI: 10.1111/j.1540-6288.2010.00244.x
关键词
safe haven; hedge; gold; stock-bond correlation; flight-to-quality
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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