Is Gold a safe haven? International Evidence
This 2010 JBF paper by Dirk Baur expands on the safe haven idea (see Baur and Lucey) and puts it into an international perspective. The abstract states
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 to 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.
In essence the finding in Baur and Lucey is upheld, and over a wider range of countries. Unlike that paper this concentrates on stocks alone, but leaves unanswered the issue of what makes gold a hedge/haven in some but not all markets. They make the useful distinction between weak haven status (assets that are uncorrelated with the benchmark asset in times of stress) and strong haven (where the asset is negatively correlated).
The full citation for this is Baur, D. G., & McDermott, T. K. (2010). Is gold a safe haven? international evidence. Journal of Banking and Finance, 34(8), 1886-1898. A downloadable working paper version of the paper is available.