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All Journal Multidiciplinary Output Research for Actual and International Issue (Morfai Journal)
Windi Wahyuni Simanjuntak
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ANALYSIS OF THE EFFECTIVENESS OF GOLD AND SUKUK AS A HEDGE Windi Wahyuni Simanjuntak; Darwis Harahap; Abdul Nasser Hasibuan
Multidiciplinary Output Research For Actual and International Issue (MORFAI) Vol. 4 No. 4 (2024): Multidiciplinary Output Research For Actual and International Issue
Publisher : RADJA PUBLIKA

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.54443/morfai.v4i4.2452

Abstract

This study aims to analyze and compare the effectiveness of gold and sukuk as hedging instruments. Using historical data for the period 2014-2023, the study was conducted using a quantitative methodology through granger causality test analysis, One way ANOVA, Paired sample t-test. The results of the study show that gold has a higher effectiveness as a hedging instrument, as evidenced by a correlation of 0.72 (compared to sukuk 0.31), beta 1.25 (compared to sukuk 0.45), and Sharpe Ratio 1.85 (compared to sukuk 1.12). In periods of high inflation such as 2014 (8.36%) and 2022 (5.95%), gold showed a faster and more proportional response than sukuk. This study concludes that gold is a more effective hedging instrument than sukuk in the context of the Islamic financial market.
Co-Authors Abdul Nasser Hasibuan Harahap, Darwis