APAKAH LOGAM MULIA MERUPAKAN SAFE HAVEN ATAU HEDGE PADA BEBERAPA PASAR MODAL DI DUNIA?

Robiyanto Robiyanto; Mikha Mandela Kapahang

doi:10.34152/fe.14.2.269-282

APAKAH LOGAM MULIA MERUPAKAN SAFE HAVEN ATAU HEDGE PADA BEBERAPA PASAR MODAL DI DUNIA?

Robiyanto Robiyanto, Mikha Mandela Kapahang

Abstract

This study attempts to analyze the ability of precious metals (gold, silver, platinum, and palladium) to act as a safe haven and hedging instruments on some of the capital market in the world. This study uses monthly data from January 2007 to December 2016. Stationarity Test, ARCH Effect Test and GARCH (1,1) Analysis are used to analyse the data. The results of this study indicate that gold is only capable of being a safe haven instruments in the capital markets of Tokyo, as well as gold are not able to be a hedging instrument for all capital markets studied. Silver is only capable of being a safe haven instruments separately Tokyo capital markets, as well as silver are not able to be a hedging instrument for all capital markets studied. Platinum is not capable of being a safe haven instruments for all capital markets studied, but platinum is able to be a hedging instrument for the Korean stock market and Tokyo. Palladium is not capable of being a safe haven instruments for all capital markets studied, but palladium is able to be a hedging instrument separately Australian capital markets, New York, Hong Kong, Korea, and Tokyo.

Keywords

precious metals; stock market index; stationarity; ARCH effects; GARCH (1,1); safe haven; hedging

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DOI: https://doi.org/10.34152/fe.14.2.269-282