Journal of Banking & Finance Vol. 34 No. 8 2010
Is gold a safe haven? International evidence
Abstract
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 30year 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.
- DOI
- 10.1016/j.jbankfin.2009.12.008
- Volume
- 34
- Issue
- 8
- Pages
- 1886-1898
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib