Economic Journal of Emerging Markets
Volume 10 Issue 1, 2018

Cross–asset class portfolio between gold and stocks in Indonesia

Mesakh Prihanto Surya Putra (Faculty of Economics and Business Satya Wacana Christian University)
Apriani Dorkas Rambu Atahau (Faculty of Economics and Business Satya Wacana Christian University)
Robiyanto Robiyanto (Faculty of Economics and Business Satya Wacana Christian University)

Article Info

Publish Date
11 May 2018

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.

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Journal Info
Economic Journal of Emerging Markets
Website

Abbrev

JEP

Publisher

Universitas Islam Indonesia

Subject

Economics, Econometrics & Finance

Description

The Economic Journal of Emerging Markets (EJEM) is a peer-reviewed journal which provides a forum for scientific works pertaining to emerging market economies. Published every April and October, this journal welcomes original research papers on all aspects of economic development issues. The journal ...