Cross–asset class portfolio between gold and stocks in Indonesia
| Main Authors: | Putra, Mesakh Prihanto Surya, Atahau, Apriani Dorkas Rambu, Robiyanto, Robiyanto |
|---|---|
| Format: | Article info quantitative approach application/pdf eJournal |
| Bahasa: | eng |
| Terbitan: |
Universitas Islam Indonesia
, 2018
|
| Subjects: | |
| Online Access: |
http://jurnal.uii.ac.id/JEP/article/view/9967 http://jurnal.uii.ac.id/JEP/article/view/9967/8312 |
Daftar Isi:
- This study observes the effectiveness of hedging by using the gold commodity futures instrument as a hedge asset towards Indonesian stock which is represented by sectoral indices and Composite Stock Price Index (CSPI). By using DCC-GARCH which can dynamically accommodate the correlation between gold and the stock, this study found gold could become a safe haven asset towards stock in Indonesia. In addition, this study found that gold can effectively become a hedge asset for the stocks in Indonesia and the hedged portfolio resulted in a higher risk-adjusted performance of the portfolio of investment.