Cross–asset class portfolio between gold and stocks in Indonesia

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...

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Bibliographic Details
Main Authors: Mesakh Prihanto Surya Putra, Apriani Dorkas Rambu Atahau, Robiyanto Robiyanto
Format: Article
Language:English
Published: Universitas Islam Indonesia 2018-05-01
Series:Economic Journal of Emerging Markets
Subjects:
Cross-asset class portfolio, DCC-GARCH, Hedging effectiveness, Risk-adjusted return
Online Access:http://journal.uii.ac.id/JEP/article/view/9967
Description
Summary: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.
ISSN:2086-3128
2502-180X

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