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This paper looks into the role of gold as a safe haven or a hedge against stock losses. We extend the existing literature in two ways. First, we consider crisis periods successively defined by recessions and bear markets. Second, we use a bivariate ARMA-GARCH-X model to estimate the conditional covariances between gold and stocks returns. The regressions are run on monthly data for gold and several stock market indices (France, Germany, the UK, the US, the G7). We find that gold qualifies as a safe haven against losses on all these stock indexes. This result holds for crises defined as recessions or bear markets, as the covariance between gold and stocks returns is found negative or null in all cases. Gold is also able to hedge against stock losses in most cases, although results are less clear-cut.Classification JEL:G01, G15, F30, F36