Gold is one of the commodities that also have been considered as the safest investment in the world. Gold is also believed to be a “shelter” for the financial market in the turmoil period. In this research, the researchers want to investigate the gold’s role as a hedge and safe haven to the stock market and exchange rate market in the Asian country. The samples are consist of eleven countries and are divided into developing market, newly developed market, and developed market. Five big crises in the past 20 years (period: 1996-2015) are used to test the hypothesis.
Using the GARCH methodology, the researcher found out that gold is proved as a hedge for mostly all stock market in country samples, except China, Japan, Singapore, and Hong Kong. Gold is also proved to be a hedge for all exchange rate markets, except Hong Kong since it adopts the fixed exchange rate system. While analyzing the safe haven effect, the researcher found out that the safe haven effect is found to be stronger among the stock markets in the developing market than the developed market. However, in the exchange rate market, all these three categories showed that the gold’s effect as their safe haven. Meanwhile, for the safe haven effect in the each period of crisis, the result is a little bit mixed. However, it can be concluded that in general, gold can be a hedge and safe haven to the Asian financial market.

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