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Agus Prayitno
Mahasiswa Program Studi Agribisnis Fakultas Pertanian Universitas Wahid Hasyim
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Journal : JURNAL ILMIAH GLOBAL EDUCATION

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Dynamic Hedge Mapping IHSG: Bukti Rolling regression 60-Hari pada Bitcoin, Emas, Obligasi, dan USD Halim, Jeffry; Oktavia, Vicky; Prayitno, Agus; Chasanah, Amalia Nur
Jurnal Ilmiah Global Education Vol. 7 No. 1 (2026): JURNAL ILMIAH GLOBAL EDUCATION
Publisher : LPPM Institut Pendidikan Nusantara Global

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.55681/jige.v7i1.4877

Abstract

This study examines whether four alternative assets Bitcoin, gold, government bonds, and the United States dollar provide protection against declines in the Indonesia Stock Exchange Composite Index (IHSG). The objective is to determine which assets act as hedges for returns and which serve as volatility safe havens during turbulent market conditions. Using daily log returns from February 2022 to April 2025, the study applies simple linear return regressions, volatility regressions constructed from 10-day rolling standard deviations, and 60-day rolling return regressions to capture time-varying relationships. The results show that the US dollar consistently exhibits a negative and statistically significant relationship with IHSG returns, indicating a reliable hedging function. In contrast, government bonds, gold, and Bitcoin display positive return betas, implying pro-cyclical behavior rather than defensive characteristics. In volatility analysis, the US dollar and government bonds record the smallest sensitivity to index volatility, while Bitcoin and gold amplify market risk. Time-varying (rolling) estimates reinforce these patterns: the dollar’s defensive role persists across normal and crisis episodes, whereas the other assets rarely show sustained negative betas. In conclusion, for the observed period and market context, the United States dollar is the most effective hedge against IHSG declines; government bonds contribute to volatility stabilization; gold offers limited diversification benefits; and Bitcoin does not function as a dependable defensive asset in the Indonesian equity market.
Co-Authors Adilla Kustya Ulfa Afifah, Inkha Rizqi Nurul Agus Qomaruddin Munir Ali, Shujahat Budi Hermawan Budiraharja, Jason Budiyanti, Erfina Vesnia Chasanah, Amalia Nur Darmanto Darmanto Darmanto Daud Andang Pasalli, Daud Andang Dewi Agustini Santoso Diana Puspitasari Dina Fitri Septarini, Dina Fitri Dwi Eko Waluyo Fitri, Yolanda Dwi Ana Halim, Jeffry Haningtyas, Selly Lofiana Henry, William Hertiana Ikasari HERU Heru Ismanto Hesi Rahmaningtyas, Nisrina Hidayah, Amelia Nurlaeli Indra Gamayanto Jayanti, Rafika Josefphine, Christina Azazya Juli Ratnawati Kaghoo, Noifke Karis Widyatmoko Kurniadi, Agung Kurniawan, Vernando Junio Kusni Ingsih Kustiadi, Josse Kustiadi, Kustiadi Limanjaya, Jonathan Rafael Ma'rifah, Inayatul Made Gede Wirakusuma Mertha Agung Durya, Ngurah Pandji Neni Kurniawati Nggego, Dedy Abdianto Oktavia, Vicky Oktoriza, Linda Ayu Pamungkas, Natalinda Patawaran, Nilfred Prawitasari, Dian Puji Purwatiningsih, Aris Rafiif, Benizar Rahayu, Maria Helena Sri Ramasamy, Suganthi Reynold, O. T Ricardo, Reyner Ririn Dina Mutfianti Riskawati, Nelis Robby Kurniawan Robby Kurniawan Budhi S, Dewi Agustini Safitri, Maria Salsabila, Hida Mona Samasta, Almira Santi Santoso, Samuel Larry Sasono Wibowo Setiawan, Aries Sih Darmi Astuti Sugiarto, Stephen Sugiyanto, Yohannes Suharnawi Suharnawi Suhita Whini Setyahuni Tanoto, Gilbert Giovanni Usman Usman Utami, Olivia Whini Setyahuni, Suhita Wibowo, Mochammad Eric Suryakencana Widianto Yonatan, Widianto Yenny Ernitawati Yuliana Kolyaan Yulita Setiawanta Yulius Hari