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This study examines whether gold is used as a safe haven, hedge or diversifier during the recent financial crisis. We employed three different daily data set, full sample period from 18/07/2001 to 27/07/2007, the pre-crisis period between 18/07/2001 to 27/07/2007 and the post-crisis period between 09/03/2009 to 31/01/2017. This paper employs a structural vector auto-regression (SVAR) model. In fact, this research investigates the dynamic relationship between gold, stocks, bond market and exchange rate. The exchange rate variable consists of USD/MYR, RMB/MYR and EURO/MYR. This analysis suggest that gold return appear to be a weak safe haven for stock, diversifier for bonds and a weak hedge against USD/MYR. Finally, the results confirm that stock return is a weak hedge for government bond.

Investigating the Roles of Gold, Stocks and Bonds: A Safe Haven, Hedge or Diversifier?