Cross–asset class portfolio between gold and stocks in Indonesia

Mesakh Prihanto Surya Putra (), Apriani Dorkas Rambu Atahau () and Robiyanto Robiyanto ()

Economic Journal of Emerging Markets, 2018, vol. 10, issue 1, 69-81

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 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:uii:journl:v:10:y:2018:i:1:p:69-81:id:9967

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