Since 2014
Cross–asset class portfolio between gold and stocks in Indonesia
Economic Journal of Emerging Markets
View Archive Info| Field | Value | |
| Title |
Cross–asset class portfolio between gold and stocks in Indonesia
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| Creator |
Putra, Mesakh Prihanto Surya
Atahau, Apriani Dorkas Rambu Robiyanto, Robiyanto |
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| Subject |
Financial Management; Capital Market;Portfolio Management
Cross-asset class portfolio, DCC-GARCH, Hedging effectiveness, Risk-adjusted return G10; G11; G15 |
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| 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.
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| Publisher |
Universitas Islam Indonesia
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| Contributor |
—
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| Date |
2018-05-11
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — quantitative approach |
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| Format |
application/pdf
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| Identifier |
http://journal.uii.ac.id/JEP/article/view/9967
10.20885/ejem.vol10.iss1.art8 |
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| Source |
Economic Journal of Emerging Markets; Volume 10 Issue 1, 2018; 69-81
2502-180X 2086-3128 |
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| Language |
eng
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| Relation |
http://journal.uii.ac.id/JEP/article/view/9967/8312
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| Coverage |
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| Rights |
Copyright (c) 2018 Economic Journal of Emerging Markets
http://creativecommons.org/licenses/by-sa/4.0 |
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