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All Journal JASF (Journal of Accounting and Strategic Finance) Jurnal Ilmiah Bisnis dan Ekonomi Asia (Jibeka)
Yuliana, Ashalia Fitri
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Economics, Econometrics & Finance Education Environmental Science Social Sciences Other

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PERAN EMAS SEBAGAI SAFE HAVEN BAGI SAHAM PERTAMBANGAN DI INDONESIA PADA PERIODE PANDEMI COVID-19 Yuliana, Ashalia Fitri; Robiyanto, Robiyanto
Jurnal Ilmiah Bisnis dan Ekonomi Asia Vol 15 No 1 (2021): Jurnal Ilmiah Bisnis dan Ekonomi Asia
Publisher : LP2M Institut Teknologi dan Bisnis Asia Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.32815/jibeka.v15i1.217

Abstract

The purpose of this study is to analyze the role of gold as safe haven or hedge for mining stocks in Indonesia during the COVID-19 pandemic period. The data used in this study are mining stock index data (JASICA) daily closing on the Indonesia Stock Exchange and daily closing gold price data on the international market during the period January 2020 - May 2020. Data analysis was performed using QREG to see the potential of gold as a safe haven and GARCH 1.1 to see the potential of gold as a hedge. The results of this study are gold can serve as a robust safe haven for Indonesian mining stocks when there is extreme shocks occur in the stock market. In addition, in this study gold also can serve as a hedge for mining stocks in Indonesia. So investors are advised when the Indonesian Capital Market conditions are experiencing uncertainty as it is today and investors want to move their assets into safe and liquid instruments, gold is the first choice for investors to secure their assets because gold is proven to be the safe haven.
Revisit the Dynamic Portfolio Formation between Gold and Stocks in Indonesia in the Period Before and During the COVID-19 Pandemic Yuliana, Ashalia Fitri; Robiyanto, Robiyanto
JASF: Journal of Accounting and Strategic Finance Vol. 5 No. 1 (2022): JASF (Journal of Accounting and Strategic Finance) - June 2022
Publisher : Accounting Department, Faculty of Economics and Business, Universitas Pembangunan Nasional Veteran Jawa Timur

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33005/jasf.v5i1.161

Abstract

This research aims to review the formation of the dynamic portfolio of individual stocks and gold using the DCC-GARCH and ADCC-GARCH analysis techniques in the periods before and during the COVID-19 pandemic. This is done so that individual investors and investment managers will be able to apply this method. This research uses data from the period of October 2019 - September 2020 with a research sample of nine stocks that are included in the IDX-30. The results showed that the DCC-GARCH analysis technique before the COVID-19 pandemic and the performance of the dynamic portfolios that were unhedged and hedged had nodifference. This is due to the conditions in the period before the COVID-19 pandemic which still tended to be stable, thus, no safe-haven asset is needed. Meanwhile, in the period during the COVID-19 pandemic, using the DCC-GARCH analysis technique, there were differences because conditions started to fluctuate in uncertainty which resulted in the need for safe-haven assets. On the other hand, using the ADCC-GARCH analysis technique on the periods before and during the COVID-19 pandemic, the performance of the dynamic portfolios that were unhedged and hedged showed a difference. Because the ADCC-GARCH technique is able to see asymmetric volatility for the future, adding gold to a portfolio can reduce risk when there is uncertainty. This research also found that the ADCC-GARCH technique had better performance than the DCC-GARCH technique.
Co-Authors Robiyanto Robiyanto, Robiyanto