Whichever one works for you is right. If this is a bipolar shunt
reference then you must beware transient saturation in the
output device which can set up a relaxation oscillation (not
small signal and missed by any analysis which does not induce
said saturation). A too-large cap or one with too-low ESR
can do this on supply or load steps.
Check high temperature as a worst case condition. Try a
matrix of capacitor values, ESR (by part number) and
series resistor (which can also help HF stability if a zero
around 15MHz is what you need) and pick a combo that
puts you well away from all of the various forms of
unpleasantness.
Datasheets and app notes are the beginning of wisdom,
not the end.