TY - JOUR
T1 - Identifying the role of gold on sustainable investment in Indonesia
T2 - The dcc-garch approach
AU - Robiyanto, Robiyanto
AU - Nugroho, Bayu Adi
AU - Huruta, Andrian Dolfriandra
AU - Frensidy, Budi
AU - Suyanto, Suyanto
N1 - Funding Information:
Funding: This research was funded by Direktorat Riset dan Pengabdian Masyarakat, Kementerian Pen-didikan, Kebudayaan, Riset dan Teknologi (Directorate of Research and Community Service, Ministry of Education, Culture, Research and Technology), Indonesia. Grant Number: 166/E4.1/AK.04.PT/2021. The APC was funded by Direktorat Riset dan Pengabdian Masyarakat, Kementerian Pendidikan, Kebu-dayaan, Riset dan Teknologi (Directorate of Research and Community Service, Ministry of Education, Culture, Research and Technology), Indonesia.
Publisher Copyright:
© 2021 by the authors. Licensee MDPI, Basel, Switzerland.
PY - 2021/9
Y1 - 2021/9
N2 - This research investigated the performance of a dynamic portfolio that consists of sustain-able/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.
AB - This research investigated the performance of a dynamic portfolio that consists of sustain-able/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.
KW - Diversifier
KW - Hedge
KW - Indonesia stock exchange
KW - Safe haven
KW - Sustainable investment
UR - http://www.scopus.com/inward/record.url?scp=85114669198&partnerID=8YFLogxK
U2 - 10.3390/economies9030119
DO - 10.3390/economies9030119
M3 - Article
AN - SCOPUS:85114669198
SN - 2227-7099
VL - 9
JO - Economies
JF - Economies
IS - 3
M1 - 119
ER -