Klasifikasi Emas Indonesia Sebagai Hedge dan Sage Haven Asset dalam Pasar Sahan Domestik, Pasar Saham Luar Negeri, dan Pasar Dolar AS Tahun 2008-2015
DOI:
https://doi.org/10.34123/jurnalasks.v8i2.52Keywords:
investment, US Dollar, hedge and safe haven, gold, risk, ARDLAbstract
Gold is supposed to be one of the promising investment instruments because it has good characteristics as a means for investment diversification (O'Byrne and O'Brien (2013)). However, during post-global crisis, especially in 2009, Indonesian gold investment was lower than before. This study aims to identify the classification of Indonesian gold in terms of its strength and its role in the domestic and foreign stock market as well as the US Dollar market, in both normal condition and bullish and bearish conditions in 2008-2015. This study uses the ARDL model in its analysis of hedge and safe haven of Indonesian gold. It indicates that the Indonesian gold, in general, act as a weak hedge asset in the international stock market, a strong hedge asset in the US Dollar market, a strong safe haven asset in the domestic and international stock market and a weak safe haven in the US Dollar market.
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Andersen, Torben G. dkk. (2009). Handbook of Financial Time Series. New York: Springer-Verlag Berlin Heidelberg.
Anggraini, Yenny. (30 November 2013). Faktor Penyebab Melemahnya Rupiah. Kompasiana. Diakses pada 18 Juli 2016 dalam http://www.kompasiana.com/writerpreuneur.blogspot.com/faktor-penyebab-melemahnya-rupiah_ 55206caea33311764646cf86
Bank Indonesia. (Berbagai Edisi). Neraca Pembayaran Indonesia. Jakarta: Bank Indonesia.
Baur, Dirk G. dan Brian M. Lucey. (2009). Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold. Financial Review, February 1, 2009. Diakses pada 10 Maret 2016 melalui http://papers.ssrn.com/sol3/papers.cfm? abstract_id=952289&download=yes
Baur, Dirk G. dan Thomas K. McDermott. (2009). Is Gold a Safe Haven? International Evidence. Journal of Banking & Finance, 34(8), 1886-1898.
Brealey, Richard A. et al.. (2001). Fundamentals of Corporate Finance, Third Edition, Alternate Edition. New York: McGraw-Hill Education.
Capie, Forrest dkk.. (2005). Gold as A Hedge Against The Dollar. Journal of International Financial Markets, Institutions and Money, 15, 343-352.
Elisa, Dewi Martha. (2013). Analisis Logam Mulia sebagai Hedging dan Safe Have di Pasar Saham. [Skripsi]. Depok: Universitas Indonesia.
Fahmi, Irham. (2015). Pengantar Teori Portofolio dan Analisis Investasi. Bandung: Alfabeta.
Fithriana F.S., Gina. (2013). Analisis Emas sebagai Hedge dan Safe Haven Asset: Kasus Negara Indonesia, Malaysia, Filipina, Singapura, dan Thailand Periode 1996-2012. [Skripsi]. Depok: Universitas Indonesia.
Gustia, Irna. (30 Desember 2008). IHSG 2008 Antiklimaks. Detik. Diakses pada 15 Juli 2016 melalui http://finance.detik.com/read/2008/12/ 30/171707/ 1061020/6/ihsg-2008-antiklimaks
Investopedia. Bear Market. Diakses pada 29 April 2016 melalui http://www.investopedia. com/terms/b/bearmarket.asp
------------------. Bull Market. Diakses pada 29 April 2016 melalui http://www.investopedia. com/terms/b/bullmarket.asp
Jorion, Phillippe. (2007). Value at Risk, The New Benchmark for Managing Financial Risk, Third Edision. New York: McGraw-Hill.
O’Byrne, Mark dan Michael O’Brien. (2013). The Essential Family Office to Investing in Gold. Dublin: Gold Core.
Pring, Martin J.. (2014). Technical Analysis Explained: The Successfull Investor’s Guide to Spotting Investment Trends and Turning Point, Fifth Edition. New York: McGraw-Hill Education.
Sadewa, Purbaya Yudhi. (22 Juli 2013). Solusi untuk Menjaga Rupiah. Bisnis. Diakses pada 19 Juli 2016 melalui http://koran.bisnis.com/read/ 20130722/251/152239/analisis-purbaya-yudhi-sadewa-bunga-tinggi-bukan-solusi-untuk-menjaga-rupiah
Situmorang, Asido. (28 September 2015). IHSG 28 September Dibuka Melemah, Terpengaruh Kekuatiran Ekonomi Global. Vibiznews. Diakses pada 15 Juli 2016 melalui http://vibiznews.com/2015/09/28/ihsg-28-september-dibuka-melemah-terpengaruh-kekuatiran-ekonomi-global/
Tandelilin, Eduardus. (2010). Portofolio dan Investasi: Teori dan Aplikasi, Edisi Pertama. Yogyakarta: Kanisius.
Unit Bisnis Pengolahan dan Pemurnian Logam Mulia PT ANTAM (Persero) Tbk. Minted Bars. Diakses pada 28 Januari 2016 melalui http://www.logammulia.com/minted-bars-id
Vesiania, Juli, dkk.. (2014). Karakteristik Emas sebagai Safe Haven dan Hedge Asset terhadap Saham dan Dolar di Indonesia. Finesta, 2(1), 67-70.
Wibowo, Arinto Tri. (30 September 2010). Harga Melejit, Antam Buru Tambang Emas Baru. VIVA. Diakses pada 19 Juli 2016 melalui http://bisnis.news.viva.co.id/news/read/180396-emas-melambung-untungkah-perusahaan-tambang
World Gold Council. (2014). Investment Commentary: 2013 Review and 2014 Outlook. London: World Gold Council.
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Published
2016-12-31
How to Cite
Syafitri, M., & Yuniasih, A. F. (2016). Klasifikasi Emas Indonesia Sebagai Hedge dan Sage Haven Asset dalam Pasar Sahan Domestik, Pasar Saham Luar Negeri, dan Pasar Dolar AS Tahun 2008-2015. Jurnal Aplikasi Statistika & Komputasi Statistik, 8(2), 13. https://doi.org/10.34123/jurnalasks.v8i2.52
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