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All Journal JURNAL BISNIS STRATEGI Jurnal Studi Manajemen Organisasi Diponegoro Journal of Management Jurnal Keuangan dan Perbankan Journal of Economics, Business, & Accountancy Ventura Gadjah Mada International Journal of Business Jurnal Penelitian Ekonomi dan Bisnis Jurnal Ilmiah Ekonomi Islam Journal of Indonesian Legal Studies Syntax Literate: Jurnal Ilmiah Indonesia DIJB (Diponegoro International Journal of Business) Jurnal Surya Masyarakat JURNAL MANAJEMEN BISNIS JOURNAL OF GOVERNMENT (Kajian Manajemen Pemerintahan dan Otonomi Daerah) Jurnal Bisnis dan Akuntansi Jurnal Abdimas PHB : Jurnal Pengabdian Masyarakat Progresif Humanis Brainstorming Jurnal Proaksi Journal of Islamic Accounting and Finance Research Jurnal Surya Masyarakat AL-ARBAH: Journal of Islamic Finance and Banking AL-FALAH : Journal of Islamic Economics International Journal of Islamic Education, Research and Multiculturalism (IJIERM) Formosa Journal of Applied Sciences (FJAS) SETARA : Jurnal Ilmu Hukum Indonesian Capital Market Review Maqdis: Jurnal Kajian Ekonomi Islam Innovative: Journal Of Social Science Research Research Horizon
Sugeng Wahyudi, Sugeng
Department Of Management Faculty Of Economics And Business Universitas Diponegoro Jl. Prof. Soedarto SH, Semarang, 50275
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Journal : Gadjah Mada International Journal of Business

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The Volatility–Variability Hypotheses Testing and Hedging Effectiveness of Precious Metals for the Indonesian and Malaysian Capital Markets Robiyanto Robiyanto; Sugeng Wahyudi; Irene Rini Demi Pangestuti
Gadjah Mada International Journal of Business Vol 19, No 2 (2017): May-August
Publisher : Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (882.816 KB) | DOI: 10.22146/gamaijb.26260

Abstract

This study evaluates the use of futures contracts for precious metals to hedge against stock market risks and their hedging effectiveness on the Indonesian Stock Exchange (IDX) and the Kuala Lumpur Stock Exchange (KLSE). This study found that gold was the most effective hedging instrument, since it produced the highest hedging effectiveness both on the IDX and the KLSE among the other precious metals. None of the hedged portfolios had a higher Sharpe’s ratio than the unhedged one on the IDX; however, all the hedged portfolios on the KLSE had a higher Sharpe’s ratio than the unhedged ones. Almost all the hedged portfolios could produce a higher Treynor’s ratio than the unhedged portfolios, both on the IDX and the KLSE. In general, this study concluded that studying some precious metals could reduce the investment risk, which was shown through the variance produced by the smaller portfolios, while gold can improve the risk-adjusted performance.
Co-Authors Abdi, Muhammad Nuskan Abdulhamid Ali Abukil Adhi Widyakto Agusta, Anthony Ahyar Yuniawan Ali Djamhuri Astuti, Fitria Yuni Aufa, Alhiqni Raya Catur Surya Perwira Dewi, Dina Rizkia Dinata, Benny Martha Dolly Parlagutan Pulungan Dwijaya, Putra Agung Effendi, Bashid Elly Kristiani Purwendah Erowati, Eti Mul Eva Wulandari Frans Elkana S Depari, Frans Elkana Frendy Akhmad Taufan, Frendy Akhmad Ganang Radityo Primady, Ganang Radityo Goklas, Fernando Harjum Muharam Hersugondo Hetami, Muhammad Nighwan Idris Idris Imam Subekti Indi Djastuti Intan Puspitasari Intan Puspitasari Irene Rini Demi Pangestuti Kirana, Maria Nindya Laras Sitoayu M. Budi Widiyo Iryanto Maria Rio Rita Marpaung, Netti Natarida Misbach Fuady, Misbach Mohammad Sigit Taruna Muhamad Syaichu Nafisah, Fina Raudlotun NIHAYATI, AINI Nisa, Marsya Ainun Nofendi, Deki Nugraha, Arindra Adhi Nugrahaning P, Sarwendah Nurin Widyastuti Sofyani, Nurin Widyastuti NURSATYANI, ANISA Oktavia, Vicky Pandjaitan, Fransiska Lucyana Puji Astuti, Aisyah Intan Riskin Hidayat Robiyanto Santoso, Stevan Adri Satriya, Brian Yuanta Setiyawati, Lia Setyorini, Noni Shalsadilla, Shavira Shibghatalloh, Ahmad Hafiyyan Sinudarsono, Kevin Suharnomo Suharnomo Suherlan, Arda Lintang Marthanda Sukrisno, Heru Thesman, Meilin Tiffani, Irzha Maulya Wardani, Heni Setia Waridin Waridin Wijaya, Chandra Purnama Winari, Ashi Aretha Wisnu Mawardi Woen Cliff Wibowo Yunaidi, Eri