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Cross–asset class portfolio between gold and stocks in Indonesia

Author

Listed:
  • Mesakh Prihanto Surya Putra
  • Apriani Dorkas Rambu Atahau
  • Robiyanto Robiyanto

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.

Suggested Citation

  • Mesakh Prihanto Surya Putra & Apriani Dorkas Rambu Atahau & Robiyanto Robiyanto, 2018. "Cross–asset class portfolio between gold and stocks in Indonesia," Economic Journal of Emerging Markets, Universitas Islam Indonesia, vol. 10(1), pages 69-81.
    • Handle: RePEc:uii:journl:v:10:y:2018:i:1:p:69-81:id:9967
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