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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) · pp. 167–192

DOI
10.22146/gamaijb.26260
ISSN
2338-7238, 1411-1128
Published
2017-08-23
Publisher
Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada
Language
eng
License
creativecommons.org/licenses/by-sa/4.0

Abstract

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.

Keywords

Collaboration network of the authors

11 authors · 15 co-authorship links · 3 across different organisations

Hover or tap a name to highlight its co-authors. Double-click to open the author's page.

  • Diponegoro University
  • Satya Wacana Christian University
  • Affiliation unknown
  • Different organisations
  • Same organisation
  • Affiliation unknown
  • Thicker line = more joint articles · bigger circle = more articles
Show as table
Co-authorOrganisationJoint articles
Adhi WidyaktoAffiliation unknown2
Siti PuryandaniDiponegoro University1
Maria Rio RitaAffiliation unknown1
Misbach FuadyAffiliation unknown1
Faisal Riza RahmanAffiliation unknown1
Maduretno WidowatiAffiliation unknown1
Mesakh Prihanto Surya PutraAffiliation unknown1
Apriani Dorkas Rambu AtahauAffiliation unknown1

Affiliations come from OpenAlex; journal OAI-PMH metadata carries none. Authors without an OpenAlex ID are matched by name, which can merge or split people.

Metadata source: OAI-PMH (metadata jurnal) https://journal.ugm.ac.id/gamaijb/oai, first harvested 28 Oct 2026, last seen 8 Nov 2026.
Original metadata (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>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<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>
</oai_dc:dc>