The Volatility–Variability Hypotheses Testing and Hedging Effectiveness of Precious Metals for the Indonesian and Malaysian Capital Markets

Robiyanto, Robiyanto; Wahyudi, Sugeng; Pangestuti, Irene Rini Demi

doi:10.22146/gamaijb.26260

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The Volatility–Variability Hypotheses Testing and Hedging Effectiveness of Precious Metals for the Indonesian and Malaysian Capital Markets

Gadjah Mada International Journal of Business (GamaIJB) · Vol. 19 No. 2 (2017) · hlm. 167–192

DOI: 10.22146/gamaijb.26260
ISSN: 2338-7238, 1411-1128
Terbit: 2017-08-23
Penerbit: Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada
Bahasa: eng
Lisensi: creativecommons.org/licenses/by-sa/4.0

Abstrak

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.

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Diponegoro University
Satya Wacana Christian University
Universitas BPD
State University of Semarang
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Rekan penulis	Organisasi	Artikel bersama
Adhi Widyakto	State University of Semarang	2
Siti Puryandani	Universitas BPD	1
Maria Rio Rita	Satya Wacana Christian University	1
Misbach Fuady	Diponegoro University	1
Faisal Riza Rahman	Diponegoro University	1
Maduretno Widowati	Afiliasi tidak diketahui	1
Mesakh Prihanto Surya Putra	Afiliasi tidak diketahui	1
Apriani Dorkas Rambu Atahau	Afiliasi tidak diketahui	1

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Sumber metadata: OAI-PMH (metadata jurnal) https://journal.ugm.ac.id/gamaijb/oai, pertama di-harvest 28 Okt 2026, terakhir terlihat 8 Nov 2026.

Metadata asli (oai_dc)

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	<dc:title xml:lang="en-US">The Volatility–Variability Hypotheses Testing and Hedging Effectiveness of Precious Metals for the Indonesian and Malaysian Capital Markets</dc:title>
	<dc:creator>Robiyanto, Robiyanto</dc:creator>
	<dc:creator>Wahyudi, Sugeng</dc:creator>
	<dc:creator>Pangestuti, Irene Rini Demi</dc:creator>
	<dc:subject xml:lang="en-US">Finance</dc:subject>
	<dc:subject xml:lang="en-US">Precious metals; DCC-GARCH; Risk Adjusted Returns; Hedging Effectiveness; Optimal Hedge Ratio</dc:subject>
	<dc:subject xml:lang="en-US">G10, G11, G15</dc:subject>
	<dc:description xml:lang="en-US">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.</dc:description>
	<dc:publisher xml:lang="en-US">Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada</dc:publisher>
	<dc:contributor xml:lang="en-US"></dc:contributor>
	<dc:date>2017-08-23</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
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	<dc:type xml:lang="en-US">Peer-reviewed Article</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://journal.ugm.ac.id/gamaijb/article/view/26260</dc:identifier>
	<dc:identifier>10.22146/gamaijb.26260</dc:identifier>
	<dc:source xml:lang="en-US">Gadjah Mada International Journal of Business; Vol 19, No 2 (2017): May-August; 167-192</dc:source>
	<dc:source>2338-7238</dc:source>
	<dc:source>1411-1128</dc:source>
	<dc:language>eng</dc:language>
	<dc:relation>https://journal.ugm.ac.id/gamaijb/article/view/26260/16976</dc:relation>
	<dc:rights xml:lang="en-US">Copyright (c) 2017 Gadjah Mada International Journal of Business</dc:rights>
	<dc:rights xml:lang="en-US">http://creativecommons.org/licenses/by-sa/4.0</dc:rights>
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