This study evaluates the use of futures contracts for precious metals to hedge against stock market risks and their hedging effectiveness on the Indonesian Stock Exchange (IDX) and the Kuala Lumpur Stock Exchange (KLSE). This study found that gold was the most effective hedging instrument, since it produced the highest hedging effectiveness both on the IDX and the KLSE among the other precious metals. None of the hedged portfolios had a higher Sharpe’s ratio than the unhedged one on the IDX; however, all the hedged portfolios on the KLSE had a higher Sharpe’s ratio than the unhedged ones. Almost all the hedged portfolios could produce a higher Treynor’s ratio than the unhedged portfolios, both on the IDX and the KLSE. In general, this study concluded that studying some precious metals could reduce the investment risk, which was shown through the variance produced by the smaller portfolios, while gold can improve the risk-adjusted performance.
| Published by | Universitas Gadjah Mada |
| Journal Name | Gadjah Mada International Journal of Business |
| Contact Phone | - |
| Contact Name | - |
| Contact Email | - |
| Location | Kab. sleman, Daerah istimewa yogyakarta INDONESIA |
| Website | GAMAIJB| http://journal.ugm.ac.id/index.php/gamaijb| |
| ISSN | ISSN : 14111128, EISSN : 23387238, DOI : -, |
| Core Subject | Economy, |
| Meta Subject | Economics, Econometrics & Finance, |
| Meta Desc | Gadjah Mada International Journal of Business (GamaIJB) is a peer-reviewed journal published three times a year (January-April, May-August, and September-December) by Master of Management Program, Faculty of Economics and Business, Universitas Gadjah Mada. GamaIJB is intended to be the journal for publishing articles reporting the results of research on business, especially in the context of emerging economies. The GamaIJB invites manuscripts in the various topics include, but not limited to, functional areas of management, accounting, international business, entrepreneurship, business economics, risk management, knowledge management, information systems, ethics, and sustainability. |
| Penulis | Robiyanto, Robiyanto , Wahyudi, Sugeng , Pangestuti, Irene Rini Demi |
| Publisher Article | Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada |
| Subtitle Article | Gadjah Mada International Journal of Business Vol 19, No 2 (2017): May-August |
| Scholar Google | http://scholar.google.com/scholar?q=%2Bintitle%3A&… |
| View Article | https://jurnal.ugm.ac.id/gamai… |
| DOI | https://doi.org/10.22146/gamaijb.26… |
| DOI Number | DOI: 10.22146/gamaijb.26260 |
| Download Article [1] | https://jurnal.ugm.ac.id/gamaijb/article… |
| Download Article [2] | http://download.garuda.ristekdikti.go.id… |
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