Which is the safe haven for emerging stock markets, gold or the US dollar?

This paper examines whether gold or the US dollar is a safe haven for emerging stocks. By calculating the low-high tail dependence between markets via copulas and the downside risk gains of portfolios, we find that both gold and the US dollar can serve as a safe haven for emerging stocks; that the US dollar is better than gold in most cases, while its superiority in hedging infinitely extreme risks is weakened in the subsample of global financial crisis and the out-of-sample; and that the downside risk gains offered by the US dollar for China and Thailand are very attractive.