Finance Discipline Group
UTS Business School
University of Technology, Sydney

Working Paper Series

The Destruction of a Safe Haven Asset?
Author(s): Dirk G. Baur and Kristoffer Glover
Date of publication: September 2012
Working paper number: 174
Gold has been a store of value for centuries and a safe haven for investors in the past decades. However, the increased investment in gold for speculative or hedging purposes has changed the safe haven property. We demonstrate theoretically and empirically that investor behaviour has the potential to destroy the safe haven property of gold. The results suggest that an asset cannot be both an investment asset and an effective safe haven asset. This finding has important implications for financial stability since assets are more likely to exhibit excess comovement and volatility in the absence of a safe haven.
Paper: Download (Format: PDF, Size: 755 Kb)
Comments: Published as: Baur, D. G. and Glover, K.,, 2012, “The Destruction of a Safe Haven Asset?”, Applied Finance Letters, 1(1),: 8–15.
Known citations:

Areal, N., Oliveira, B. and Sampalo, R., 2015, "When Times Get Tough, Gold is Golden", The European Journal of Finance, 21(6), 507-526.

Baur, D. G., 2013, "Exchange-Traded Funds on Gold-A Free Lunch?", Working Paper.

Baur, D. G and Glover, K., 2012, "A Gold Bubble?," Working Paper Series 175, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

Baur, D. G and Glover, K., 2012, "Heterogeneous Expectations in the Gold Market: Specification and Estimation", Journal of Economic Dynamics and Control, 40, 116-133.

Baur, D. G and Glover, K., 2014, "Speculative Trading in the Gold Market", International Review of Financial Analysis, 39, 63-71.

Bredin, D., Conlon, T. and Poti, V., 2015, "Does Gold Glitter in the Long-Run? Gold as a Hedge and Safe Haven Across Time and Investment Horizon", International Review of Financial Analysis, forthcoming.

Klement, J., 2015, "Facts and Fantasies About Gold", Working Paper.

O'Connor, F. A., Lucey, B. M., Batten, J. A. and Baur, D. G., 2015, "The Financial Economics of Gold – A Survey", Working Paper.