PERAN EMAS SEBAGAI SAFE HAVEN BAGI SAHAM PERTAMBANGAN DI INDONESIA PADA PERIODE PANDEMI COVID-19

  • Ashalia Fitri Yuliana Universitas Kristen Satya Wacana
  • Robiyanto Robiyanto Universitas Kristen Satya Wacana
Keywords: Safe haven, Hedge, Mining index, Quantile regression, GARCH

Abstract

The purpose of this study is to analyze the role of gold as safe haven or hedge for mining stocks in Indonesia during the COVID-19 pandemic period. The data used in this study are mining stock index data (JASICA) daily closing on the Indonesia Stock Exchange and daily closing gold price data on the international market during the period January 2020 - May 2020. Data analysis was performed using QREG to see the potential of gold as a safe haven and GARCH 1.1 to see the potential of gold as a hedge. The results of this study are gold can serve as a robust safe haven for Indonesian mining stocks when there is extreme shocks occur in the stock market. In addition, in this study gold also can serve as a hedge for mining stocks in Indonesia. So investors are advised when the Indonesian Capital Market conditions are experiencing uncertainty as it is today and investors want to move their assets into safe and liquid instruments, gold is the first choice for investors to secure their assets because gold is proven to be the safe haven.

References

Baur, D. G., & Lucey, B. M. (2010). Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold. The Financial Review, 45(2), 217–229.

Baur, D. G., & McDermott, T. K. J. (2016). Why is Gold a Safe Haven? Journal of Behavioral and Experimental Finance, 10, 63–71.

BEI. (2020). Indeks Saham.

Ghazali, M. F. (2010). Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold. Financial Review, 45(2), 217–229.x

Ghazali, M. F., Lean, H. H., & Bahari, Z. (2015). Sharia Compliant Gold Investment in Malaysia: Hedge or Safe Haven? Pacific Basin Finance Journal, 34, 192–204.

Ji, Q., Zhang, D., & Zhao, Y. (2020). Searching for Safe-Haven Assets During The COVID-19 Pandemic. International Review of Financial Analysis of Financial Analysis, 71, 101526.

Jubinski, D., & Lipton, A. (2013). VIX, Gold, Silver, and Oil: How do Commodities React to Financial Market Volatility? Journal of Accounting and Finance, 13(1), 70–88.

Kontan.co.id. (2020). Jadi Indeks dengan Penurunan Paling Tipis, Begini Prospek Saham Pertambangan. 08-05.

Ming, L., Zhang, X., Liu, Q., & Yang, S. (2020). A Revisit to The Hedge and Safe Haven Properties of Gold: New Evidence From China. Journal of Futures Markets, April.

Puryandani, S., & Robiyanto. (2019). Gold: Hedge, Safe Haven or Diversifier for Indonesian Capital Market. Fokus Ekonomi: Jurnal Ilmiah Ekonomi, 14(2), 226–239.

Putra, M. P. S., Atahau, A. D. R., & Robiyanto, R. (2018). Cross-Asset Class Portofolio Between Gold and Stocks in Indonesia. Economic Journal of Emerging Markets, 10(1), 69–81.

Robiyanto, R., Hadiyatno, D., Sudjinan, S., & Ernayani, R. (2019). Gold and Capital Market in Indonesia: A Preview on Strategy of Hedging and Diversification. Journal of International Studies, 12(2), 117–128.

Robiyanto, Sugeng Wahyudi, I. R. D. P. (2017b). Testing Commodities As Save Haven And Hedging Instrument On Asean’s Five Stock Markets. Jurnal Ekonomi Kuantitatif Terapan, 231–238.

Robiyanto. (2020). Buku Ajar Manajemen Risiko Aset Pelindung Nilai (Hedge) dan Aset Teraman (Safe Haven). CV.Tiga Media Pratama.

Robiyanto, R. (2018a). Testing of The Gold’s Role as a Safe Haven and Hedge for Sharia Stocks in Indonesia. Al-Iqtishad: Jurnal Ilmu Ekonomi Syariah, 10(2), 255–266.

Robiyanto, Robiyanto. (2017). The Analysis of Capital Market Integration in Asean Region By Using the OGARCH Approach. Jurnal Keuangan Dan Perbankan, 21(2), 169–175.

Robiyanto, Robiyanto. (2018b). Gold VS bonds: What is the safe haven for the indonesian and Malaysian capital market? Gadjah Mada International Journal of Business, 20(3), 277–302.

Robiyanto, Robiyanto, Wahyudi, S., & Pangestuti, I. R. D. (2017a). The Volatility–Variability Hypotheses Testing and Hedging Effectiveness of Precious Metals for The Indonesian and Malaysian Capital Markets. Gadjah Mada International Journal of Business, 19(2), 167–192.

Shahzad, S. J. H., Bouri, E., Roubaud, D., Kristoufek, L., & Lucey, B. (2019). Is Bitcoin a Better Safe-Haven Investment Than Gold and Commodities? International Review of Financial Analysis, 63(September 2018), 322–330.

Shakil, M. H., Mustapha, I. M., Tasnia, M., & Saiti, B. (2018). Is Gold a Hedge or a Safe Haven? An Application of ARDL Approach. Journal of Economics, Finance and Administrative Science, 23(44), 60–76.

Tom Erik Sønsteng Henriksen. (2018). Properties of Long/ Short Commodity Indices in Stock and Bond Portofolios. The Journal of Alternative Investments, 20(4), 51–68.

Wu, S., Tong, M., Yang, Z., & Derbali, A. (2019). Does Gold or Bitcoin Hedge Economic Policy Uncertainty? Finance Research Letters, 31(February), 171–178.

Published
2021-02-21
How to Cite
Yuliana, A., & Robiyanto, R. (2021). PERAN EMAS SEBAGAI SAFE HAVEN BAGI SAHAM PERTAMBANGAN DI INDONESIA PADA PERIODE PANDEMI COVID-19. Jurnal Ilmiah Bisnis Dan Ekonomi Asia, 15(1), 1-11. https://doi.org/10.32815/jibeka.v15i1.217