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All Journal Media Ekonomi dan Manajemen
Robiyanto Robiyanto
Scopus ID [56968203800] Faculty of Economics and Business, Satya Wacana Christian University, Salatiga, Indonesia
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Industrial & Manufacturing Engineering

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An Empirical Study of Bonds as a Safe Haven in Indonesia During COVID-19 and Russia-Ukraine War Fahmi Ihwanul Arifin; Robiyanto Robiyanto; Yefta Andi Kus Noegroho; Harijono Harijono
Media Ekonomi dan Manajemen Vol 41, No 1 (2026): January 2026
Publisher : Fakultas Ekonomika dan Bisnis UNTAG Semarang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.56444/mem.v41i1.6311

Abstract

This study examines whether government and corporate bonds in Indonesia act as hedging or safe haven assets during the COVID-19 pandemic and the Russia–Ukraine war. This study using data started from March 3, 2020 which is the date of the first Covid-19 case emerged in Indonesia to March 29, 2024 even though the war is not over yet on the time this study being conducted. The cut-off date for the Russia-Ukraine war is February 24, 2022. Generalized Autoregressive Conditional Heteroskedasticity (GARCH) is used in order to test the potential of bonds as hedges, while QREG used in order to test the potential of bond as safe haven. The findings show that during the period of financial and geopolitical crisis, Indonesian government and corporate bonds cannot be an effective safe haven or hedge against the stock market. While they can serve as diversification assets due to their stable volatility, these bonds lack the consistent negative correlation with the Composite Stock Price Index (CSPI) required for safe haven assets. Investors and portfolio managers should be cautious in relying on government bonds and corporate bonds as hedge against stock market declines. The results suggest that bonds may not provide the expected protection against stock market declines, so investors need to consider alternative diversification strategies or other hedging instruments when making investment decisions.
Cross-Asset Portfolio Modeling: A Comparative Study of Symmetrical and Asymmetric Dynamic Methods Dismas Oktavianto; Robiyanto Robiyanto; Andrian Dolfriandra Huruta
Media Ekonomi dan Manajemen Vol 40, No 1 (2025): January 2025
Publisher : Fakultas Ekonomika dan Bisnis UNTAG Semarang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.56444/mem.v40i1.5302

Abstract

This study aims to develop a dynamic portfolio model based on asset class, precious metals, world oil, and dollar index. This study performs a comparative test between the Dynamics Conditional Correlation (DCC) and Asymmetric Dynamics Conditional Correlation (ADCC) to determine the best method in forming a dynamic portfolio. Four big cap companies on the Indonesian stock market (BBCA, BBRI, BMRI, and ASII) are examined in this study. The data used were daily returns for the period of January 2, 1998 – December 31, 2020, analyzed using Dynamics Conditional Correlation (DCC) and Asymmetric Dynamics Conditional Correlation (ADCC). The results of empirical testing suggest that including gold, world oil, and dollar index into the dynamic portfolio might increase the portfolio performance and minimize its risks. The stock-gold portfolios formed by utilizing the DCC and ADCC-GARCH methods outperform those composed of only stock. Gold could act as a financial system stabilizer by mitigating losses in the case of extreme negative market shocks. Stock-WTI portfolios formed by utilizing the DCC and ADCC-GARCH methods also outperform those composed of only stock.
Liquidity, Volatility, and Herding Behavior: A Study of the Indonesia Stock Exchange during the Covid-19 Pandemic Zuwan Nisfu Nahar; Robiyanto Robiyanto
Media Ekonomi dan Manajemen Vol 40, No 2 (2025): July 2025
Publisher : Fakultas Ekonomika dan Bisnis UNTAG Semarang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.56444/mem.v40i2.5942

Abstract

This research aims to determine liquidity and volatility conditions and differences in herding behavior during the pre-pandemic, early pandemic, and the new normal period of the COVID-19 pandemic in Indonesia. This research examines the microstructure and proves herding behavior on the Indonesian Stock Exchange (IDX). This research will also look at liquidity and volatility to see market sentiment because investor behavior can be reflected in liquidity and volatility. The population used in this research is the IDX-80 index, with 48 companies as the sample. This study uses CSAD to test herding behavior because it is not sensitive to outliers. This research found that the highest market liquidity and volatility occurred during the early pandemic, and the highest herding behavior occurred during the new normal period. The market response to each event can also determine the direction of stock movements, so investors can take advantage of this period to collect shares and sell them again when prices rise. This research offers a summary of the Indonesian capital market during significant events, which can assist investors in developing investment plans that consider the course of events. Practically, this study offers actionable insights for investors by explaining how market conditions during different phases of the pandemic influence investment strategies.
Nexus between Cryptocurrency Markets and Hedge Funds in Period Before and During Russia-Ukraine War Stefanus Chandra Wibowo; Robiyanto Robiyanto; Andrian Dolfriandra Huruta; Triyanto Triyanto
Media Ekonomi dan Manajemen Vol 40, No 2 (2025): July 2025
Publisher : Fakultas Ekonomika dan Bisnis UNTAG Semarang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.56444/mem.v40i2.5476

Abstract

The purpose of this study is to identify the pre- and post-war impact of the Russia-Ukraine war on the interaction between cryptocurrencies, cryptocurrency hedge funds, and traditional hedge funds. This study provides a deeper understanding of how geopolitical events can affect the behavior of financial markets involving cryptocurrencies and hedge funds. In addition, this study also seeks to fill the knowledge gap that exists in the current literature, specifically with regards to hedge fund strategies during specific geopolitical conflicts. This study utilizes secondary data involving the cryptocurrency hedge fund index, global hedge fund index, and eight proposed hedge fund strategies. The study period runs from February 2018 to July 2023. Granger Causality Test and ARDL used in this study. The finding shows that there is a significant relationship between cryptocurrency hedge funds and conventional hedge funds. Statistical analysis revealed cointegration between cryptocurrency hedge funds and conventional hedge funds, indicating a significant long-term relationship. This study identified a significant impact of changes in market behavior before and after the Russia-Ukraine war on cryptocurrency hedge funds.
Determinants of United States - Indonesia Equity Market’s Dynamic Correlation: The Role of Commodities and Exchange Rate’s Volatilities Robiyanto Robiyanto; Essy Indah Pangesti; Harijono Harijono; Budi Frensidy
Media Ekonomi dan Manajemen Vol 38, No 2 (2023): July 2023
Publisher : Fakultas Ekonomika dan Bisnis UNTAG Semarang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.56444/mem.v38i2.3595

Abstract

This study aims to analyze the effect of oil price volatility, gold price volatility and exchange rate volatility on the dynamic relationship between Indonesian and United States capital market. The data used in this study are daily closing prices of oil, gold and exchange rates (USD/IDR) as well as Indonesian capital market (JKSE) and United States capital market (DJIA) composite indices during period of January 2005 to October 2020. This study uses DCC-GARCH method to calculate the dynamic correlation between two capital markets and GARCH with the GED parameter to analyze oil volatility, gold volatility and exchange rate volatility on the integration of Indonesian capital market and United States capital market. The results of this study show positive and strong results on the integration of Indonesian and United States capital markets, thus proving that the movements of Indonesian market and American market tend to be strong and mutually influence the two capital markets. Moreover, the oil, gold and exchange rates volatilities have a negative effect on the integration of the Indonesia capital market and the US capital market. This finding implies investors should take oil, gold and exchange rates volatilities in their investment consideration.
Co-Authors A. Harijono Andrian Dolfriandra Huruta Andrian Dolfriandra Huruta Budi Frensidy, Budi Dismas Oktavianto Essy Indah Pangesti Fahmi Ihwanul Arifin Harijono Harijono Stefanus Chandra Wibowo Triyanto Triyanto Yefta Andi Kus Noegroho Zuwan Nisfu Nahar