Peran Emas Sebagai Hedge Atau Safe Haven Terhadap Saham Pada Periode Sebelum Dan Selama Covid-19 Di Indonesia
Abstract
Penelitian ini menguji tentang peran emas terhadap portofolio saham di Indonesia dari Juni 2019 hingga November 2020 (periode sebelum dan selama COVID-19) dengan menggunakan metode Stochastic Dominance (SD). Metode Stochastic Dominance digunakan untuk menguji bahwa portofolio saham dan emas mampu mendominasi secara stokastik portofolio saham. Hasil penelitian menunjukkan bahwa portofolio saham dan emas mendominasi secara stokastik terhadap portofolio saham pada second order (SSD) dan third order (TSD) selama periode penelitian. Portofolio saham dan emas mendominasi pada keseluruhan persentase kepemilikan emas (5% hingga 50%). Hal ini menunjukkan bahwa emas mampu berperan sebagai hedge atau safe haven terhadap portfolio saham pada periode sebelum dan selama COVID-19 di Indonesia. Penelitian ini menyarankan bahwa investor sebaiknya memasukkan emas pada portofolio saham mereka untuk membentuk portofolio optimal sehingga mampu memaksimalkan imbal hasil dan meminimalisir risiko.
Kata Kunci: Emas, Saham, Stochastic Dominance, Hedge, Safe Haven
Abstract
This research examines the role of gold on stock portfolios in Indonesia from June 2019 to November 2020 (before and during COVID-19 period) using Stochastic Dominance (SD) method. Stochastic Dominance method is used to test that gold-stock portfolio does dominate stock portfolio. The results show that gold-stock portfolio stochastically dominates stock portfolio at second order (SSD) and third order (TSD) during research period. Gold-stock portfolio dominates at all percentage holdings of gold (5% to 50%). This indicates that gold is able to act as a hedge or safe haven for stock portfolio in before and during COVID-19 period in Indonesia. This research suggests that investors should include gold in their stock portfolio to design optimal portfolio so as to maximazing returns and minimizing returns.
Keywords: Gold, Stocks, Stochastic Dominance, Hedge, Safe Haven
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DOI: https://doi.org/10.37531/sejaman.v4i1.1179
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