{"id":3321,"date":"2012-02-14T16:39:22","date_gmt":"2012-02-14T16:39:22","guid":{"rendered":"https:\/\/www.lse.ac.uk\/granthaminstitute\/?post_type=publication&#038;p=3321"},"modified":"2024-08-19T14:40:43","modified_gmt":"2024-08-19T13:40:43","slug":"safe-haven-assets-and-investor-behaviour-under-uncertainty","status":"publish","type":"publication","link":"https:\/\/www.lse.ac.uk\/granthaminstitute\/publication\/safe-haven-assets-and-investor-behaviour-under-uncertainty\/","title":{"rendered":"Safe haven assets and investor behaviour under uncertainty"},"content":{"rendered":"<!DOCTYPE html PUBLIC \"-\/\/W3C\/\/DTD HTML 4.0 Transitional\/\/EN\" \"http:\/\/www.w3.org\/TR\/REC-html40\/loose.dtd\">\n<?xml encoding=\"UTF-8\"><h3>Abstract<\/h3>\n<p>Financial crises and contagion have highlighted the need for safe haven assets. However, their existence, role and interactions are not well understood. We analyze the two most prominent yet fundamentally different safe haven assets, US government bonds and gold. Our econometric analysis explicitly models the dynamic interaction between these assets and the global stock market. While both assets appear to act as safe havens, we find that gold, in contrast to US government bonds, becomes increasingly sensitive to large negative shocks in the stock market. Gold therefore appears to be a stronger safe haven in extreme conditions despite the fact that it is more risky and less liquid than bonds. We offer a behavioral interpretation to explain our findings.<\/p>\n<h3>Reference<\/h3>\n<p>Baur, D.G. and McDermott, T.K.J. February 2012.&nbsp;<em>Safe haven assets and investor behaviour under uncertainty<\/em>. Under review.<\/p>\n\n","protected":false},"excerpt":{"rendered":"<!DOCTYPE html PUBLIC \"-\/\/W3C\/\/DTD HTML 4.0 Transitional\/\/EN\" \"http:\/\/www.w3.org\/TR\/REC-html40\/loose.dtd\">\n<?xml encoding=\"UTF-8\"><p>Abstract Financial crises and contagion have highlighted the need for safe haven assets. However, their existence, role and interactions are&hellip;<\/p>\n\n","protected":false},"author":43,"featured_media":0,"template":"","tags":[849,850,847,846,845,269,848],"publication-type":[436],"topic_area":[4698],"class_list":["post-3321","publication","type-publication","status-publish","hentry","tag-ambiguity-aversion","tag-contagion","tag-gold","tag-safe-assets","tag-safe-haven","tag-uncertainty","tag-us-government-bonds","publication-type-research-articles","topic_area-behavioural-responses"],"acf":{"downloads":{"ref_value":"field_52f16cc1a80f2","value":false,"type":"repeater","post_type":""},"profile_link":{"ref_value":"field_52f164b5189e9","value":["tom-mcdermott"],"type":"relationship","post_type":"profile"},"article_link":{"ref_value":"field_52eee3c7f0586","value":"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2004796","type":false,"post_type":""},"article_link_title":{"ref_value":"field_5322399d89d42","value":"Financial Turmoil and Safe Haven Assets","type":false,"post_type":""},"spotlight":{"ref_value":"field_52f80896506d3","value":"","type":false,"post_type":""},"exclude_from_sync":{"ref_value":"field_560538b0e7350","value":"0","type":false,"post_type":""},"rss_newsletter":{"ref_value":"field_54f5c2c1544d8","value":"","type":false,"post_type":""}},"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v27.3 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>Safe haven assets and investor behaviour under uncertainty - Grantham Research Institute on climate change and the environment<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.lse.ac.uk\/granthaminstitute\/publication\/safe-haven-assets-and-investor-behaviour-under-uncertainty\/\" \/>\n<meta property=\"og:locale\" content=\"en_GB\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Safe haven assets and investor behaviour under uncertainty - Grantham Research Institute on climate change and the environment\" \/>\n<meta property=\"og:description\" content=\"Abstract Financial crises and contagion have highlighted the need for safe haven assets. However, their existence, role and interactions are...\" \/>\n<meta property=\"og:url\" content=\"https:\/\/www.lse.ac.uk\/granthaminstitute\/publication\/safe-haven-assets-and-investor-behaviour-under-uncertainty\/\" \/>\n<meta property=\"og:site_name\" content=\"Grantham Research Institute on climate change and the environment\" \/>\n<meta property=\"article:modified_time\" content=\"2024-08-19T13:40:43+00:00\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:label1\" content=\"Estimated reading time\" \/>\n\t<meta name=\"twitter:data1\" content=\"1 minute\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\\\/\\\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\\\/\\\/www.lse.ac.uk\\\/granthaminstitute\\\/publication\\\/safe-haven-assets-and-investor-behaviour-under-uncertainty\\\/\",\"url\":\"https:\\\/\\\/www.lse.ac.uk\\\/granthaminstitute\\\/publication\\\/safe-haven-assets-and-investor-behaviour-under-uncertainty\\\/\",\"name\":\"Safe haven assets and investor behaviour under uncertainty - Grantham Research Institute on climate change and the environment\",\"isPartOf\":{\"@id\":\"https:\\\/\\\/www.lse.ac.uk\\\/granthaminstitute\\\/#website\"},\"datePublished\":\"2012-02-14T16:39:22+00:00\",\"dateModified\":\"2024-08-19T13:40:43+00:00\",\"breadcrumb\":{\"@id\":\"https:\\\/\\\/www.lse.ac.uk\\\/granthaminstitute\\\/publication\\\/safe-haven-assets-and-investor-behaviour-under-uncertainty\\\/#breadcrumb\"},\"inLanguage\":\"en-GB\",\"potentialAction\":[{\"@type\":\"ReadAction\",\"target\":[\"https:\\\/\\\/www.lse.ac.uk\\\/granthaminstitute\\\/publication\\\/safe-haven-assets-and-investor-behaviour-under-uncertainty\\\/\"]}]},{\"@type\":\"BreadcrumbList\",\"@id\":\"https:\\\/\\\/www.lse.ac.uk\\\/granthaminstitute\\\/publication\\\/safe-haven-assets-and-investor-behaviour-under-uncertainty\\\/#breadcrumb\",\"itemListElement\":[{\"@type\":\"ListItem\",\"position\":1,\"name\":\"Home\",\"item\":\"https:\\\/\\\/www.lse.ac.uk\\\/granthaminstitute\\\/\"},{\"@type\":\"ListItem\",\"position\":2,\"name\":\"Publications\",\"item\":\"https:\\\/\\\/www.lse.ac.uk\\\/granthaminstitute\\\/?post_type=publication\"},{\"@type\":\"ListItem\",\"position\":3,\"name\":\"All research\",\"item\":\"https:\\\/\\\/www.lse.ac.uk\\\/granthaminstitute\\\/publication-type\\\/new-research\\\/\"},{\"@type\":\"ListItem\",\"position\":4,\"name\":\"Research article\",\"item\":\"https:\\\/\\\/www.lse.ac.uk\\\/granthaminstitute\\\/publication-type\\\/research-articles\\\/\"},{\"@type\":\"ListItem\",\"position\":5,\"name\":\"Safe haven assets and investor behaviour under uncertainty\"}]},{\"@type\":\"WebSite\",\"@id\":\"https:\\\/\\\/www.lse.ac.uk\\\/granthaminstitute\\\/#website\",\"url\":\"https:\\\/\\\/www.lse.ac.uk\\\/granthaminstitute\\\/\",\"name\":\"Grantham Research Institute on climate change and the environment\",\"description\":\"The Grantham Research Institute at LSE carries out world-class research on climate change and the environment.\",\"potentialAction\":[{\"@type\":\"SearchAction\",\"target\":{\"@type\":\"EntryPoint\",\"urlTemplate\":\"https:\\\/\\\/www.lse.ac.uk\\\/granthaminstitute\\\/?s={search_term_string}\"},\"query-input\":{\"@type\":\"PropertyValueSpecification\",\"valueRequired\":true,\"valueName\":\"search_term_string\"}}],\"inLanguage\":\"en-GB\"}]}<\/script>\n<!-- \/ Yoast SEO plugin. -->","yoast_head_json":{"title":"Safe haven assets and investor behaviour under uncertainty - Grantham Research Institute on climate change and the environment","robots":{"index":"index","follow":"follow","max-snippet":"max-snippet:-1","max-image-preview":"max-image-preview:large","max-video-preview":"max-video-preview:-1"},"canonical":"https:\/\/www.lse.ac.uk\/granthaminstitute\/publication\/safe-haven-assets-and-investor-behaviour-under-uncertainty\/","og_locale":"en_GB","og_type":"article","og_title":"Safe haven assets and investor behaviour under uncertainty - Grantham Research Institute on climate change and the environment","og_description":"Abstract Financial crises and contagion have highlighted the need for safe haven assets. 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