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All Journal AFRE Accounting Financial Review AKURASI: Jurnal Riset Akuntansi dan Keuangan Jurnal ABDINUS : Jurnal Pengabdian Nusantara Jurnal Akuntansi Dan Bisnis Indonesia (JABISI) Jurnal Ilmiah Multidisiplin Indonesia Akurasi
Sinaga, Melan
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Agriculture, Biological Sciences & Forestry Computer Science & IT Decision Sciences, Operations Research & Management Earth & Planetary Sciences Economics, Econometrics & Finance Education Engineering Environmental Science Industrial & Manufacturing Engineering Physics

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Journal : Akurasi

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Hedging market risk using gold: A wavelet quintile correlation approach Sinaga, Melan; Mappadang, Agoestina; Nugroho, Bayu Adi
AKURASI: Jurnal Riset Akuntansi dan Keuangan Vol 6 No 3 (2024)
Publisher : LPMP Imperium

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.36407/akurasi.v6i3.1459

Abstract

This research assesses gold's hedging and haven qualities against stock market fluctuations. This study uses the daily returns of three exchange-traded funds that best reflect the gold market and the stock markets of developed and emerging economies: iShares MSCI World (URTH), SPDR Gold (GLD), and SPDR S&P Emerging Markets (EDIV). The data set spans January 13, 2012, to December 29, 2023. For analytical purposes, this study estimates the dynamic correlation from the DCC-GARCH model and the newly constructed wavelet quantile correlations (WQC). According to WQC, gold has consistently been a short- and long-term haven for emerging markets during the COVID-19 pandemic and the Russia-Ukraine conflict. However, gold only shows the long-term safe-haven status for the developed markets. Further, this study shows that gold and stock correlations, both short- and long-term, do change with time. Lastly, this research suggests trading strategies based on a constant proportion approach. Public interest statements This study is useful for people to understand hedging methods and trading strategies for gold products
Co-Authors Agoestina Mappadang Bayu Adi Nugroho, Bayu Adi Fitriawati, Roza Wastiningtyas, Sekar Arum