ANALISIS PERGERAKAN SAHAM, OBLIGASI DAN EMAS SEBAGAI DASAR PENGKAJIAN EMAS SEBAGAI HEDGING DAN SAFE HAEVN

The objective of this research is to analysis market movement of gold, bond and stock to investigate the existence of a safe haven and a hedge. A safe haven is defined as asset that is uncorrelated with stocks and bonds in case of a market crash. A hedge is defined as a asset that is uncorrelated wi...

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Bibliographic Details
Main Authors: , Pratika Adi Nugraheni, , Bowo Setiyono, S.E.,M.Com
Format: Theses and Dissertations NonPeerReviewed
Published: [Yogyakarta] : Universitas Gadjah Mada 2011
Subjects:
ETD
Online Access:https://repository.ugm.ac.id/89843/
http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=51119
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Institution: Universitas Gadjah Mada
Description
Summary:The objective of this research is to analysis market movement of gold, bond and stock to investigate the existence of a safe haven and a hedge. A safe haven is defined as asset that is uncorrelated with stocks and bonds in case of a market crash. A hedge is defined as a asset that is uncorrelated with stocks and bonds on average. The sample of this study are daily returns of gold, bond and stock over 2007-2009 period with applying Generalized AutoRegressive Conditional Heteroscedasticity (GARCH).