Is Gold a safe haven or a hedge?
This paper was, as far as can be ascertained, the first to formally define in an econometrically meaningful manner a safe haven asset. The paper 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.
The full citation for this is Baur, Dirk G. and Lucey, Brian M. (2010), ‘Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold’, Financial Review, 45 (2), 217-29.
A downloadable copy of the paper is available