Open AccessGOLD: HEDGE, SAFE HAVEN OR DIVERSIFIER FOR INDONESIAN CAPITAL MARKET
Author(s) -
Siti Puryandani,
Robiyanto Robiyanto
Publication year - 2019
Publication title -
fokus ekonomi/fokus ekonomi
Language(s) - English
Resource type - Journals
eISSN - 2549-8991
pISSN - 1907-6304
DOI - 10.34152/fe.14.2.226-239
Subject(s) - portfolio , hedge , safe haven , indonesian , business , financial economics , gold as an investment , monetary economics , economics , financial system , ecology , linguistics , philosophy , biology
This study scrunitize whether gold can act as hedge, diversifier and safe haven in Indonesian Capital Market. Data employed in this study are monthly Jakarta Composite Index and monthly international gold spot price during January 1999 to September 2013. Using Generalized Autocorrelation Conditional Heteroscedasticity (GARCH), the results show that gold can not act as hedge and diversifier in Indonesian Capital Market because both instruments have comovement. Furthermore, gold can not act as robust safe haven in Indonesian Capital Market. These findings suggest that it is better to investors whose already hold Indonesian stocks as their portfolio to exclude gold as their part of portfolio and divert their portfolio to other instrument with risk free characteristic such as Indonesia sovereign debt and Indonesia sovereign Sukuk during financial market crash.