Artikel
Identifying the role of gold on sustainable investment in Indonesia: The DCC-GARCH approach
This research investigated the performance of a dynamic portfolio that consists of sustainable/ethical stocks and gold. The main purpose of this study is to prove that the inclusion of gold in sustainable/ethical stocks portfolios could produce better performance. Therefore, the method used in this research, DCC-GARCH, was relaxing the basic assumptions in the theory of modern portfolio that is under the assumption of the normality of stock return and securities would have constant correlation. This research used data such as SRI-KEHATI Index (SKI) and Jakarta Islamic Index (JII) in Indonesia as a proxy for sustainable investments. Additionally, this research used gold from 2013 to 2019. This study is able to provide evidence regarding the ability of a dynamic portfolio to minimize the level of portfolio risk. However, this led a lower rate of return. Based on the OLS regression, gold is also proven as a weak safe haven for sustainable investment in Indonesia. Investors who believe in ethical investment may include gold in this time-varying approach when formulating the portfolio to reduce risk significantly. The inclusion of gold in portfolios could produce hedging effectiveness. Overall, this study supports some previous findings regarding the ability of gold as an instrument, which could reduce investment risk if involved in a portfolio.
- Language
-
Englisch
- Bibliographic citation
-
Journal: Economies ; ISSN: 2227-7099 ; Volume: 9 ; Year: 2021 ; Issue: 3 ; Pages: 1-14 ; Basel: MDPI
- Classification
-
Wirtschaft
Portfolio Choice; Investment Decisions
International Financial Markets
Environmental Economics: Other
- Subject
-
diversifier
hedge
Indonesia stock exchange
safe haven
sustainable investment
- Event
-
Geistige Schöpfung
- (who)
-
Robiyanto, Robiyanto
Nugroho, Bayu Adi
Huruta, Andrian Dolfriandra
Frensidy, Budi
Suyanto, Suyanto
- Event
-
Veröffentlichung
- (who)
-
MDPI
- (where)
-
Basel
- (when)
-
2021
- DOI
-
doi:10.3390/economies9030119
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Robiyanto, Robiyanto
- Nugroho, Bayu Adi
- Huruta, Andrian Dolfriandra
- Frensidy, Budi
- Suyanto, Suyanto
- MDPI
Time of origin
- 2021
Other Objects (12)
The Multivariate DCC-GARCH Model with Interdependence among Markets in Conditional Variances' Equations
Identifying the poor in Indonesia : poverty measures and the reliability of data sources
Value-at-Risk with Application of DCC-GARCH Model
Cross-city hedging with weather derivatives using bivariate DCC GARCH models
Are GARCH and DCC values of 10 cryptocurrencies affected by COVID-19?
Relationship between Czech and European developed stock markets: DCC MV GARCH analysis
DCC-HEAVY: A multivariate GARCH model with realized measures of variance and correlation
Identifying with the nation
Identifying with the nation
Non-negativity conditions for the hyperbolic GARCH model
On the statistical properties of multiplicative GARCH models
On the statistical properties of multiplicative GARCH models
The Multivariate DCC-GARCH Model with Interdependence among Markets in Conditional Variances' Equations
Identifying the poor in Indonesia : poverty measures and the reliability of data sources
Value-at-Risk with Application of DCC-GARCH Model
Cross-city hedging with weather derivatives using bivariate DCC GARCH models
Are GARCH and DCC values of 10 cryptocurrencies affected by COVID-19?
Relationship between Czech and European developed stock markets: DCC MV GARCH analysis
DCC-HEAVY: A multivariate GARCH model with realized measures of variance and correlation
Identifying with the nation
Identifying with the nation
Non-negativity conditions for the hyperbolic GARCH model
On the statistical properties of multiplicative GARCH models
On the statistical properties of multiplicative GARCH models
The Multivariate DCC-GARCH Model with Interdependence among Markets in Conditional Variances' Equations
Identifying the poor in Indonesia : poverty measures and the reliability of data sources
Value-at-Risk with Application of DCC-GARCH Model
Cross-city hedging with weather derivatives using bivariate DCC GARCH models
Are GARCH and DCC values of 10 cryptocurrencies affected by COVID-19?
Relationship between Czech and European developed stock markets: DCC MV GARCH analysis
DCC-HEAVY: A multivariate GARCH model with realized measures of variance and correlation
Identifying with the nation
Identifying with the nation
Non-negativity conditions for the hyperbolic GARCH model
On the statistical properties of multiplicative GARCH models