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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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
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spelling doaj-e4f8829fe8f6449eb7ef67c6b29955fb2020-11-24T23:56:40ZengUniversitas Islam IndonesiaEconomic Journal of Emerging Markets2086-31282502-180X2018-05-01101698110.20885/ejem.vol10.iss1.art88009Cross–asset class portfolio between gold and stocks in IndonesiaMesakh Prihanto Surya Putra0Apriani Dorkas Rambu Atahau1Robiyanto Robiyanto2Faculty of Economics and Business Satya Wacana Christian UniversityFaculty of Economics and Business Satya Wacana Christian UniversityFaculty of Economics and Business Satya Wacana Christian UniversityThis 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.http://journal.uii.ac.id/JEP/article/view/9967Cross-asset class portfolio, DCC-GARCH, Hedging effectiveness, Risk-adjusted return
collection DOAJ
language English
format Article
sources DOAJ
author Mesakh Prihanto Surya Putra
Apriani Dorkas Rambu Atahau
Robiyanto Robiyanto
spellingShingle Mesakh Prihanto Surya Putra
Apriani Dorkas Rambu Atahau
Robiyanto Robiyanto
Cross–asset class portfolio between gold and stocks in Indonesia
Economic Journal of Emerging Markets
Cross-asset class portfolio, DCC-GARCH, Hedging effectiveness, Risk-adjusted return
author_facet Mesakh Prihanto Surya Putra
Apriani Dorkas Rambu Atahau
Robiyanto Robiyanto
author_sort Mesakh Prihanto Surya Putra
title Cross–asset class portfolio between gold and stocks in Indonesia
title_short Cross–asset class portfolio between gold and stocks in Indonesia
title_full Cross–asset class portfolio between gold and stocks in Indonesia
title_fullStr Cross–asset class portfolio between gold and stocks in Indonesia
title_full_unstemmed Cross–asset class portfolio between gold and stocks in Indonesia
title_sort cross–asset class portfolio between gold and stocks in indonesia
publisher Universitas Islam Indonesia
series Economic Journal of Emerging Markets
issn 2086-3128
2502-180X
publishDate 2018-05-01
description 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.
topic Cross-asset class portfolio, DCC-GARCH, Hedging effectiveness, Risk-adjusted return
url http://journal.uii.ac.id/JEP/article/view/9967
work_keys_str_mv AT mesakhprihantosuryaputra crossaassetclassportfoliobetweengoldandstocksinindonesia
AT aprianidorkasrambuatahau crossaassetclassportfoliobetweengoldandstocksinindonesia
AT robiyantorobiyanto crossaassetclassportfoliobetweengoldandstocksinindonesia
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