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Robiyanto Robiyanto, Robiyanto
Jurusan Teknik Sipil Fakultas Teknik Universitas Lampung.
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Journal : JASF (Journal of Accounting and Strategic Finance)

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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 A. Harijono A.A. Ketut Agung Cahyawan W Adiwidjojo, Enrico Pranata Agus Dwi Churniawan, Agus Dwi Akhmadi Akhmadi Alsyahrin, Dea Prastica Amalia, Yessi Andrian Dolfriandra Huruta Angelina, Ria Anggreni, Maretha Kris Dwi Apriani Dorkas Rambu Atahau Asmaul Husna Azalia, Kezia Maylani Budi Frensidy, Budi Butarbutar, Ruth Haryati Cahyono, Aji Wikan Catherine, Happy Churniawan, Agus Dwi Dwijayati, Bonita Restu Eka Handriani Eka Kartika Untari Fatikasari, Imania Fitri, Alya Syafika Gunadi, Patrisinus Ceasar Hadi, Natanael Kristolife Ardana Hadisa, Nurul Harjum Muharam Hartanto, Aldhi Fajar Harwi Kusnadi Heny Handayani Hermiana, Aida Islamy, Muhamad Rido Isnindar Isnindar Jeni, Frima Jusak Jusak Jusak, Jusak Komala Inggarwati, Komala Kusuma, Ria Lakaba, Angriana Leopoldus Ricky Sasongko Lestari, Urai Indah Rachmawati Liana, Jesica Luliana, Sri Marsela, Marsiana Melcin, Sella Angelina Mikasari, Wilda Nafiah, Ilma Nahar, Zuwan Nisfu Nera Umilia Purwanti, Nera Umilia Nugroho, Ainine Devara Nurlita, Eva Nurmainah Nurmainah Nurohman, Nurohman Oktavianto, Dismas Petrus Wijayanto Potto, Otniel Syebastian Agusto Pratiwi Apridamayanti, Pratiwi Pratiwi, Nabilla Putri Pratiwi, Siska Gita Priyanto, Aldi Rahmadani, Ardha Laila Reni Haerani Rihfenti Ernayani Rosmimi, Monika Safitri, Yunita Dewi Salvatori, Etheldreda Gladys Samuel Martono Sanera, Ferlino Saputra, Ilham Saputri, Aisyah Sari, Ardilla Putri Naina Stefan, Yonatan Alvin Sudjinan, Sudjinan Supentri Suraya, Dini Susanti, Ressi Tamara, Sephia Lisa Tundjung Mahatma Wibowo, Stefanus Chandra Wisnu Mawardi Yesmawati, Yesmawati Yuliana, Ashalia Fitri Yunita Yunita