Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold
研究了黄金在美国、英国和德国股市中是否是对冲工具或避险资产，发现黄金平均上对冲股票，在极端股市条件下是短期避险资产。
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.