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All Journal Economic Journal of Emerging Markets Jurnal Ekonomi Kuantitatif Terapan MATRIK: JURNAL MANAJEMEN, STRATEGI BISNIS, DAN KEWIRAUSAHAAN JURNAL BISNIS STRATEGI Jurnal Ilmu Sosial dan Humaniora Jurnal Keuangan dan Perbankan Media Ekonomi dan Manajemen Al-Iqtishad : Jurnal Ilmu Ekonomi Syariah (Journal of Islamic Economics) Journal of Economics, Business, & Accountancy Ventura Gadjah Mada International Journal of Business Among Makarti Proceeding SENDI_U International Research Journal of Business Studies (E-Journal) Jurnal Ekonomi dan Bisnis Jurnal Dinamika Ekonomi dan Bisnis Jurnal Riset Akuntansi dan Keuangan AFRE Accounting Financial Review Jurnal Organisasi Dan Manajemen Fokus Ekonomi Equilibria Pendidikan : Jurnal Ilmiah Pendidikan Ekonomi International Journal of Social Science and Business Magisma: Jurnal Ilmiah Ekonomi dan Bisnis Atma Jaya Accounting Reseach (AJAR) JIMEK : Jurnal Ilmiah Mahasiswa Ekonomi JASF (Journal of Accounting and Strategic Finance) Jurnal Ekonomi Dan Bisnis Jurnal Manajemen Jurnal Pasar Modal dan Bisnis Inobis: Jurnal Inovasi Bisnis dan Manajemen Indonesia Journal of Management and Entrepreneurship Research Management and Accounting Expose Jurnal Akuntansi Keuangan dan Bisnis Jurnal Manajemen dan Kewirausahaan Indonesian Journal of Sustainability Accounting and Management
Robiyanto
Universitas Kristen Satya Wacana
Religion Arts Humanities Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Environmental Science Industrial & Manufacturing Engineering Law, Crime, Criminology & Criminal Justice Social Sciences Other

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Journal : Economic Journal of Emerging Markets

 1 
Cross–asset class portfolio between gold and stocks in Indonesia Mesakh Prihanto Surya Putra; Apriani Dorkas Rambu Atahau; Robiyanto Robiyanto
Economic Journal of Emerging Markets Volume 10 Issue 1, 2018
Publisher : Universitas Islam Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20885/ejem.vol10.iss1.art8

Abstract

This study observes the effectiveness of hedging by using the gold commodity futures instrument as a hedge asset towards Indonesian stock which is represented by sectoral indices and Composite Stock Price Index  (CSPI). By using DCC-GARCH which can dynamically accommodate the correlation between gold and the stock, this study found gold could become a safe haven asset towards stock in Indonesia. In addition, this study found that gold can effectively become a hedge asset for the stocks in Indonesia and the hedged portfolio resulted in a higher risk-adjusted performance of the portfolio of investment.
Co-Authors A. Harijono Adi Cahya Stefanus Adi Rahadi Putra Adiputri, Bio Labora Afi Virna Noviani Akhmadi Akhmadi Alfi Syahri Alfi Syahri Anggraeny, Wafa Anggreini Pamilangan Anisha Cahyaningrum Apriani Dorkas Rambu Atahau Ardilla Putri Naina Sari Ashalia Fitri Yuliana Ashalia Fitri Yuliana Bonita Restu Dwijayati Budi Frensidy Budi Frensidy, Budi Cahyono, Aji Wikan Christina, Olivia Christopher Anthony Surya Dharma Dea Prastica Alsyahrin Dilla Andharini Eka Handriani Enrico Pranata Adiwidjojo Essy Indah Pangesti Etheldreda Gladys Salvatori Eva Nurlita Fahmi Ihwanul Arifin Farrel Tegar Giovanni Fatikasari, Imania Gabriela Elvina Dwiastuti Siahaan Hadi, Natanael Kristolife Ardana Hans Hananto Andreas Happy Catherine Harjum Muharam Hartanto, Aldhi Fajar Heny Handayani Hizkisevia Ayu Cahyapuspita Irene Rini Demi Pangestuti Isna Anggita Jenifer Christiani Bowa Kezia Viona Sugiyanto Kristiana Oktavia Kristiana Oktavia Kumar, Joseph John Allwyn Lakaba, Angriana Maria Magdalena Marwanti Mesakh Prihanto Surya Putra Mikha Mandela Kapahang Naufal Dwinanda Narra Putra Nila Listiana Nurlita, Eva Nurohman Nurohman P Purwanto Pamilangan, Anggreini Patrisinus Ceasar Gunadi Paulus Hartono Petrus Wijayanto Prayogo Prayogo Rihfenti Ernayani Ryan Bagas Wikantyoso Samuel Martono Silvia Putri Faridayanti Sintikhe Mega Treisya Siska Gita Pratiwi Siska Gita Pratiwi Siti Puryandani Stefan, Yonatan Alvin Stefanus, Adi Cahya Stefany Cindy Sugiyanto Sudjinan Sudjinan Sugeng Wahyudi, Sugeng Suryani, Cyndi Susanto, Auberta Danice Triyanto Ullanchiang Meillenia Tumbal Venina Cindy Kusumawati Vicho Dwindra Arisandhi Wafa Anggraeny Wisnu Mawardi Yahya Rechtiawan Djari Yehezkiel Chris Setiawan Yonatan Alvin Stefan Yunita Yunita Yunita Yunita Yunita Yunita Yuvica Lara Rovantiane Yuvica Lara Rovantiane Adicondro