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Journal : Indonesian Capital Market Review

DCC-GARCH Application in Formulating Dynamic Portfolio between Stocks in the Indonesia Stock Exchange with Gold Robiyanto, Robiyanto
The Indonesian Capital Market Review Vol. 10, No. 1
Publisher : UI Scholars Hub

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Abstract

This study tries to form a portfolio by using a method which may accommodate the dynamic of assets correlation and the abnormality of stock return distribution namely DCC-GARCH. The objective of this study is to combine individual stocks with gold, so retail investor can also apply this method. This study using data from January 2009 –December 2017 period. Samples in this study were nine stocks. The results of this study showed that there were two stocks with higher Sharpe Ratio if combined with gold through dynamic portfolio formation (hedged portfolio) namely BBCA-Gold and SMCB-Gold than unhedged portfolio. And there are three stocks with higher Treynor Ratio if combined with gold through dynamic portfolio formation (hedged portfolio) namely BBCA-Gold, SMCB-Gold and UNTR-Gold than unhedged portfolio. This finding proves that the DCC-GARCH application can improve the risk-adjusted return of these stocks when combined with gold
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