Cross–asset class portfolio between gold and stocks in Indonesia
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 go...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universitas Islam Indonesia
2018-05-01
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| Series: | Economic Journal of Emerging Markets |
| Subjects: | |
| Online Access: | http://journal.uii.ac.id/JEP/article/view/9967 |