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Submitted
February 8, 2018
Accepted
May 11, 2018
Published
May 11, 2018
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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.

Keywords

Cross-asset class portfolio DCC-GARCH Hedging effectiveness Risk-adjusted return

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Economic Journal of Emerging Markets by Center for Economic Studies, Universitas Islam Indonesia is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

How to Cite
Putra, M. P. S., Atahau, A. D. R., & Robiyanto, R. (2018). Cross–asset class portfolio between gold and stocks in Indonesia. Economic Journal of Emerging Markets, 10(1), 69–81. https://doi.org/10.20885/ejem.vol10.iss1.art8
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