"A recent paper...attempts to answer this question—or, rather, it attempts to answer two questions. Does gold usually move in the same direction as shares or government bonds? (In other words, is it a hedge in normal times?) And does gold move in the opposite direction when shares or bonds are falling sharply? (Is it a safe haven in extreme times?)
The academics looked at a period from end-November 1995 to end-November 2005. They found....[that] It does well in the short term when shares fall; but if shares fall for long enough, investors start to liquidate their portfolios and gold suffers with all the rest....So those investors who want to buy gold are really making a commodity bet or a currency bet. They are not protecting themselves against a prolonged bear market in shares and bonds.
The academic paper is by Baur and Lucey:
“Is Gold a Hedge or a Safe Haven? An analysis of Stocks, Bonds, and Gold"