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
Precious metals; DCC-GARCH; Risk Adjusted Returns; Hedging Effectiveness; Optimal Hedge Ratio
https://jurnal.ugm.ac.id/gamaijb/article/view/26260
References
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Arouri, M. E. H., A. Lahiani, D. K. Nguyen. 2014. World gold proces and stock return in China: Insights for hedging and diversification strategies. Working Paper.
Artigas, J. C., J. Palmberg, B. Sederovich, and M. Grubb. 2012. Gold as a Strategic Asset for UK Investors. World Gold Council.
Baur, D. G., and B. M. Lucey. 2010. Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. The Financial Review, 45: 217-229.
Baur, D. G., and T. K. McDermott. 2009. Is gold a safe haven?: International evidence. Discussion Paper (310). Institute for International Integration Studies (IIIS).
Baur, D. G., and T. K. J. McDermott. 2012. Safe Haven Assets and Investor Behaviour Under Uncertainty. Institute for International Integration Studies.
Beckmann, J., and R. Czudaj. 2012. Gold as an Inflation Hedge in a time-varying coefficient framework. RUHR Economic Papers (362).
Bednarek, Z., P. Patel, and C. Ramezani. 2014. Sharpe ratio over investment horizon. Working Paper.
Bollerslev, T. 1986. Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics 31: 307-327. doi: https://doi.org/10.1016/0304-4076(86)90063-1.
Brown, L. R., M. Renner, and B. Halwell. 2000. Vital Signs 2000: The Environmental Trend That Are Shaping Our Future. New York: W.W. Norton & Company. Inc.
Chua, J. H., G. Sick, and R. S. Woodward. 1990. Diversifying with gold stocks. Financial Analysts Journal 46 (4): 76-79.
Conover, C. M., G. R. Jensen, R. R. Johnson, J. M. Mercer. 2010. Is now the time to add commodities to your portfolio? Journal of Investing 4 (10-19).
Dee, J., L. Li, and Z. Zheng. 2013. Is gold a hedge or a safe haven? Evidence from inflation and stock market. International Journal of Development and Sustainability 2 (1): 1-16.
Do, G. Q., M. Mcaleer, and S. Sriboonchitta. 2009. Effects of international gold market on stock exchange volatility: Evidence from ASEAN emerging stock markets. Economics Bulletin 29 (2): 599-610.
Duda, K., and P. Batyuk. 2009. Performance and risk evaluation of Danish mutual and hedge funds. M.Sc. Thesis in Business Studies. University of Aarhus, Aarhus.
Ederington, L. 1979. The hedging performance of the new futures market. Journal of Finance 34: 157-170.
Engle, R. F. 2002. Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics 20 (3): 339-350. doi: http://dx.doi.org/10.1198/073500102288618487.
Fama, E. F. 1972. Components of Investment Performance. Journal of Finance 27 (3): 551-567.
Faubert, V. 2012. Is gold still a safe haven? Tresor-Economics, Ministere de L’Economie Des Finances et de L’Industrie (April): 101.
Fen, A. B., L. S. Yee, L. C. Ling, O. C. Cher, and S. K. Yean. 2014. The determinants of Malaysia government bond yields from year 1996: Q1 to 2013: Q4. Thesis. Universiti Tunku Abdul Rahman.
Ferojuddin, K., and L. Ramani. 2014. Empirical study of the relationship between spot price and future price od copper in MCX. Amity Business Review 15 (2).
Figlewski, S. 1984. Hedging performance and basis risk in stock index futures. Journal of Finance 39 (3): 657-669.
GFMS. 2016. World Silver Survey 2016. Retrieved from www.silverinstitute.org
Ghazali, M. F., H-H. Lean, and Z. Bahari. 2013. Is gold a hedge or a safe haven? An empirical evidence of gold and stocks in Malaysia. International Journal of Business and Society 14 (3): 428-443.
Ghazali, M. F., H-H. Lean, and Z. Baharia. 2016. Gold investments in Malaysia. Paper presented at the 2016 International Congress on Banking, Economics, Finance, and Business, Sapporo, Japan.
Ghosh, D., E. J. Levin, P. MacMillan, and R. E. Wright. 2004. Gold as an inflation hedge? Studies in Economics and Finance 22 (1): 1-25.
Gürgün, G., and I. Ünalmýs. 2014. Is gold a safe haven against equity market investment in emerging and developing countries? Finance Research Letters 11 (4): 341-348.
Hammoudeh, S. M., Y. Yuan, M. McAleer, M. A. Thompson. 2010. Precious metals–exchange rate volatility transmissions and hedging strategies. International Review of Economics and Finance 19: 633-647.
Heng, N. V., A. M. Nassir, M. Ariff, and S. Mohamad. 2005. Predictive power of forward rates: Evidence from Malaysian Government Securities (MGS) market. Investment Management and Financial Innovations 2: 61-71.
Herbst, A. 1983. Gold versus U.S. common stocks: Some evidence on inflation hedge performance and cyclical behavior. Financial Analysts Journal: 66-74.
Hillier, D., P. Draper, and R. Faff. 2006. Do precious metals shine? An investment perspective. Financial Analysts Journal 62 (3/4): 98-106.
Hoang, T.-H.-V., H-H. Lean, and W-K. Wong. 2015. Is gold good for portfolio diversification? A stochastic dominance analysis of the paris stock exchange. International Review of Financial Analysis.
Hood, M., and F. Malik. 2013. Is gold the best hedge and a safe haven under changing stock market volatility. Review of Financial Economic 22 (2): 47-52.
Howard, C. T., and L. J. D’Antonio. 1984. A risk-return measure of hedging effectiveness. Journal of Financial and Quantitative Analysis 19 (1): 101-112.
Ibrahim, M. H. 2010. Financial market risk and gold investment in an emerging market: the case of Malaysia. Paper presented at the PERKEM V.
Ibrahim, M. H. 2012. Financial risk market and gold investment in an emerging market: The case of Malaysia. International Journal of Islamic and Middle Eastern Finance and Management Research News 5 (1): 25-34.
Ibrahim, M. H., and A. H. Baharom. 2012. The role of gold in financial market: A Malaysian perspective. Economic Computation and Economic Cybernetics Studies and Research.
Jensen, M. 1968. The performance of mutual funds in the period 1945-1964. Journal of Finance 23: 389-416.
Johnson, L. L. 1960. The theory of hedging and speculation in commodity futures. Review of Economic Studies 27 (3): 139-151.
Kaliyamoorthy, S., and S. Parithi, S. (2012). Relationship of Gold Market and Stock Market: An Analysis. International Journal of Business and Management Tomorrow, 2(6), 1-6.
Kidd, D. 2011. The sharpe ratio and the information ratio. Investment Performance Measurement Feature Articles 1: 1-4.
Kidd, D. 2012. Risk-adjusted performance measures: A case study. Investment Risk and Performance 1: 1-4.
Krondahl, E., and O. Lindahl. 2012. Perceptual safe havens: A study of gold, oil, palladium, wheat, bonds, USD, and stocks. Degree Project Master of Science in Business and Economics. Lund University.
Kroner, K. F., and V. K. Ng. 1998. Modelling asymmetric comovements of assets returns. Review of Financial Studies 11 (4): 817-844.
Kroner, K. F., and J. Sultan. 1993. Time-varying distributions and dynamic hedging with foreign currency futures. Journal of Financial and Quantitative Analysis 28 (4): 535-551.
Ku, Y.-H. H., H-C. Chen and K-H. Chen. 2007. On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios. Applied Economics Letters 14 (7): 503-509. doi: 10.1080/13504850500447331
Kumar, D. 2014. Return and volatility transmission between gold and stock sectors: Application of portfolio management and hedging effectiveness. IIMB Management Review 26 (1): 5-16. doi: 10.1016/j.iimb.2013.12.002
Lo, A. W. 2002. The statistics of Sharpe ratios. Financial Analysts Journal 58 (4): 36-52.
Lontoh, A. D., and A. H. Anggono. 2014. The construction of optimal balanced fund consisting Indonesian stocks and bonds (Case study: LQ45 stocks and government bonds during period July 2009-June 2014). Journal of Business and Management 3 (3): 267-277.
Low, S.-W., and Y-B. Chin. 2013. Refinements to the Sharpe ratio --Evidence from Malaysian Equity Funds. Global Economic Review 42 (1): 72-97. doi: http://dx.doi.org/10.1080/1226508X.2013.769818.
Markowitz, H. M. 1959. Portfolio Selection: Efficient Diversification of Investments. New York: John Wiley & Sons, Inc.
Natalia, E., Darminto, and M. G. Wi Endang NP. 2014. Penentuan portofolio saham yang optimal dengan model Markowitz sebagai dasar penetapan investasi saham (Studi pada perusahaan Food and Beverage yang terdaftar di Bursa Efek Indonesia tahun 2012). Jurnal Administrasi Bisnis 9 (1): 1-9.
Pezier, J., and A. White. 2006. The relative merits of hedge fund indices and of funds of hedge funds in optimal passive portfolios. ICMA Discussion Papers in Finance.
Picard, J. 2015. Essays in high-frequency trading. Dissertation. Michigan State University, Michigan.
Pilotte, E. A., and F. P. Sterbenz. 2006. Sharpe and treynor ratios on treasury bonds. Journal of Business 79 (1): 149-180.
Posedel, P. 2005. Properties and estimation of GARCH (1,1) model. Metodoloski Zvezk 2 (2): 243-257.
Radetzki, M. 1989. Precious metals: The fundamental determinants of their price behaviour. Resources Policy 15 (3): 194-208.
Ratner, M., and S. Klein. 2008. The portfolio implications of gold investment. Journal of Investing 17 (1): 77-87.
Rudd, A., and H. K. Clasing. 1988. Modern Portfolio Theory – The Principles of Investment Management (2nd ed.): Orinda.
Sari, R., S. Hammoudeh, and U. Soytas. 2009. Dynamics of oils price, precious metal prices, and exchange rate. Energy Economics 32 (2): 351-362.
Scholz, H., & Wilkens, M. (2005). A Jigsaw Puzzle of Basic Risk-adjusted Performance Measures. Journal of Performance Measurement 57.
Scholz, H., and M. Wilkens. 2006. Investor-specific performance measurement - A justification of Sharpe ratio and Treynor ratio. Working Paper.
Sembiring, F. M. 2012. Analisis pembentukan portofolio optimal berdasarkan Single Index Model pada saham-saham yang dikelola oleh manajer investasi PT Panin Securities. Portofolio 9 (1): 1-17.
Septyanto, D., and B. Kertopati. 2014. Analisa pembentukan portofolio dengan menggunakan model markowitz dan single index model pada saham LQ45 di Bursa Efek Indonesia tahun 2009-2013. Working Paper.
Sharpe, W. F. 1966. Mutual fund performance. Journal of Business 39 (1): 119-138. doi: http://dx.doi.org/10.1086/294846.
Thillainathan, R. 1996. Malaysia’s bond market: The further reforms required to escape underdevelopment. ASEAN Economic Bulletin 13 (1): 95-113.
Tkacz, G. 2007. Gold prices and inflation. Working Paper (35). Bank of Canada.
Treynor, J. L. 1965. How to rate management of investment funds. Harvard Business Review 43 (1): 63-75.
Triharjono, S. 2013. Single Index Model sebagai alat analisis optimalisasi portofolio investasi saham (Studi kasus pada kelompok saham LQ-45 di BEI tahun 2009-2011). Jurnal Ilmu Manajemen and Bisnis 4 (1): 1-12.
Worthington, A. C., and M. Pahlavani. 2007. Gold investment as an inflationary hedge: Cointegration evidence with allowance for endogenous structural breaks. Applied Financial Economics Letters 3 (4): 259-262.
Zulkafli, A. H., Z. Ahmad, and E. Armal M. 2017. The performance of socially responsible investments in Indonesia: A study of the Sri Kehati Index (SKI). Gadjah Mada International Journal of Business, 19 (1): 59-76. doi: https://doi.org/10.22146/gamaijb.17959
Arouri, M. E. H., A. Lahiani, D. K. Nguyen. 2014. World gold proces and stock return in China: Insights for hedging and diversification strategies. Working Paper.
Artigas, J. C., J. Palmberg, B. Sederovich, and M. Grubb. 2012. Gold as a Strategic Asset for UK Investors. World Gold Council.
Baur, D. G., and B. M. Lucey. 2010. Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. The Financial Review, 45: 217-229.
Baur, D. G., and T. K. McDermott. 2009. Is gold a safe haven?: International evidence. Discussion Paper (310). Institute for International Integration Studies (IIIS).
Baur, D. G., and T. K. J. McDermott. 2012. Safe Haven Assets and Investor Behaviour Under Uncertainty. Institute for International Integration Studies.
Beckmann, J., and R. Czudaj. 2012. Gold as an Inflation Hedge in a time-varying coefficient framework. RUHR Economic Papers (362).
Bednarek, Z., P. Patel, and C. Ramezani. 2014. Sharpe ratio over investment horizon. Working Paper.
Bollerslev, T. 1986. Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics 31: 307-327. doi: https://doi.org/10.1016/0304-4076(86)90063-1.
Brown, L. R., M. Renner, and B. Halwell. 2000. Vital Signs 2000: The Environmental Trend That Are Shaping Our Future. New York: W.W. Norton & Company. Inc.
Chua, J. H., G. Sick, and R. S. Woodward. 1990. Diversifying with gold stocks. Financial Analysts Journal 46 (4): 76-79.
Conover, C. M., G. R. Jensen, R. R. Johnson, J. M. Mercer. 2010. Is now the time to add commodities to your portfolio? Journal of Investing 4 (10-19).
Dee, J., L. Li, and Z. Zheng. 2013. Is gold a hedge or a safe haven? Evidence from inflation and stock market. International Journal of Development and Sustainability 2 (1): 1-16.
Do, G. Q., M. Mcaleer, and S. Sriboonchitta. 2009. Effects of international gold market on stock exchange volatility: Evidence from ASEAN emerging stock markets. Economics Bulletin 29 (2): 599-610.
Duda, K., and P. Batyuk. 2009. Performance and risk evaluation of Danish mutual and hedge funds. M.Sc. Thesis in Business Studies. University of Aarhus, Aarhus.
Ederington, L. 1979. The hedging performance of the new futures market. Journal of Finance 34: 157-170.
Engle, R. F. 2002. Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics 20 (3): 339-350. doi: http://dx.doi.org/10.1198/073500102288618487.
Fama, E. F. 1972. Components of Investment Performance. Journal of Finance 27 (3): 551-567.
Faubert, V. 2012. Is gold still a safe haven? Tresor-Economics, Ministere de L’Economie Des Finances et de L’Industrie (April): 101.
Fen, A. B., L. S. Yee, L. C. Ling, O. C. Cher, and S. K. Yean. 2014. The determinants of Malaysia government bond yields from year 1996: Q1 to 2013: Q4. Thesis. Universiti Tunku Abdul Rahman.
Ferojuddin, K., and L. Ramani. 2014. Empirical study of the relationship between spot price and future price od copper in MCX. Amity Business Review 15 (2).
Figlewski, S. 1984. Hedging performance and basis risk in stock index futures. Journal of Finance 39 (3): 657-669.
GFMS. 2016. World Silver Survey 2016. Retrieved from www.silverinstitute.org
Ghazali, M. F., H-H. Lean, and Z. Bahari. 2013. Is gold a hedge or a safe haven? An empirical evidence of gold and stocks in Malaysia. International Journal of Business and Society 14 (3): 428-443.
Ghazali, M. F., H-H. Lean, and Z. Baharia. 2016. Gold investments in Malaysia. Paper presented at the 2016 International Congress on Banking, Economics, Finance, and Business, Sapporo, Japan.
Ghosh, D., E. J. Levin, P. MacMillan, and R. E. Wright. 2004. Gold as an inflation hedge? Studies in Economics and Finance 22 (1): 1-25.
Gürgün, G., and I. Ünalmýs. 2014. Is gold a safe haven against equity market investment in emerging and developing countries? Finance Research Letters 11 (4): 341-348.
Hammoudeh, S. M., Y. Yuan, M. McAleer, M. A. Thompson. 2010. Precious metals–exchange rate volatility transmissions and hedging strategies. International Review of Economics and Finance 19: 633-647.
Heng, N. V., A. M. Nassir, M. Ariff, and S. Mohamad. 2005. Predictive power of forward rates: Evidence from Malaysian Government Securities (MGS) market. Investment Management and Financial Innovations 2: 61-71.
Herbst, A. 1983. Gold versus U.S. common stocks: Some evidence on inflation hedge performance and cyclical behavior. Financial Analysts Journal: 66-74.
Hillier, D., P. Draper, and R. Faff. 2006. Do precious metals shine? An investment perspective. Financial Analysts Journal 62 (3/4): 98-106.
Hoang, T.-H.-V., H-H. Lean, and W-K. Wong. 2015. Is gold good for portfolio diversification? A stochastic dominance analysis of the paris stock exchange. International Review of Financial Analysis.
Hood, M., and F. Malik. 2013. Is gold the best hedge and a safe haven under changing stock market volatility. Review of Financial Economic 22 (2): 47-52.
Howard, C. T., and L. J. D’Antonio. 1984. A risk-return measure of hedging effectiveness. Journal of Financial and Quantitative Analysis 19 (1): 101-112.
Ibrahim, M. H. 2010. Financial market risk and gold investment in an emerging market: the case of Malaysia. Paper presented at the PERKEM V.
Ibrahim, M. H. 2012. Financial risk market and gold investment in an emerging market: The case of Malaysia. International Journal of Islamic and Middle Eastern Finance and Management Research News 5 (1): 25-34.
Ibrahim, M. H., and A. H. Baharom. 2012. The role of gold in financial market: A Malaysian perspective. Economic Computation and Economic Cybernetics Studies and Research.
Jensen, M. 1968. The performance of mutual funds in the period 1945-1964. Journal of Finance 23: 389-416.
Johnson, L. L. 1960. The theory of hedging and speculation in commodity futures. Review of Economic Studies 27 (3): 139-151.
Kaliyamoorthy, S., and S. Parithi, S. (2012). Relationship of Gold Market and Stock Market: An Analysis. International Journal of Business and Management Tomorrow, 2(6), 1-6.
Kidd, D. 2011. The sharpe ratio and the information ratio. Investment Performance Measurement Feature Articles 1: 1-4.
Kidd, D. 2012. Risk-adjusted performance measures: A case study. Investment Risk and Performance 1: 1-4.
Krondahl, E., and O. Lindahl. 2012. Perceptual safe havens: A study of gold, oil, palladium, wheat, bonds, USD, and stocks. Degree Project Master of Science in Business and Economics. Lund University.
Kroner, K. F., and V. K. Ng. 1998. Modelling asymmetric comovements of assets returns. Review of Financial Studies 11 (4): 817-844.
Kroner, K. F., and J. Sultan. 1993. Time-varying distributions and dynamic hedging with foreign currency futures. Journal of Financial and Quantitative Analysis 28 (4): 535-551.
Ku, Y.-H. H., H-C. Chen and K-H. Chen. 2007. On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios. Applied Economics Letters 14 (7): 503-509. doi: 10.1080/13504850500447331
Kumar, D. 2014. Return and volatility transmission between gold and stock sectors: Application of portfolio management and hedging effectiveness. IIMB Management Review 26 (1): 5-16. doi: 10.1016/j.iimb.2013.12.002
Lo, A. W. 2002. The statistics of Sharpe ratios. Financial Analysts Journal 58 (4): 36-52.
Lontoh, A. D., and A. H. Anggono. 2014. The construction of optimal balanced fund consisting Indonesian stocks and bonds (Case study: LQ45 stocks and government bonds during period July 2009-June 2014). Journal of Business and Management 3 (3): 267-277.
Low, S.-W., and Y-B. Chin. 2013. Refinements to the Sharpe ratio --Evidence from Malaysian Equity Funds. Global Economic Review 42 (1): 72-97. doi: http://dx.doi.org/10.1080/1226508X.2013.769818.
Markowitz, H. M. 1959. Portfolio Selection: Efficient Diversification of Investments. New York: John Wiley & Sons, Inc.
Natalia, E., Darminto, and M. G. Wi Endang NP. 2014. Penentuan portofolio saham yang optimal dengan model Markowitz sebagai dasar penetapan investasi saham (Studi pada perusahaan Food and Beverage yang terdaftar di Bursa Efek Indonesia tahun 2012). Jurnal Administrasi Bisnis 9 (1): 1-9.
Pezier, J., and A. White. 2006. The relative merits of hedge fund indices and of funds of hedge funds in optimal passive portfolios. ICMA Discussion Papers in Finance.
Picard, J. 2015. Essays in high-frequency trading. Dissertation. Michigan State University, Michigan.
Pilotte, E. A., and F. P. Sterbenz. 2006. Sharpe and treynor ratios on treasury bonds. Journal of Business 79 (1): 149-180.
Posedel, P. 2005. Properties and estimation of GARCH (1,1) model. Metodoloski Zvezk 2 (2): 243-257.
Radetzki, M. 1989. Precious metals: The fundamental determinants of their price behaviour. Resources Policy 15 (3): 194-208.
Ratner, M., and S. Klein. 2008. The portfolio implications of gold investment. Journal of Investing 17 (1): 77-87.
Rudd, A., and H. K. Clasing. 1988. Modern Portfolio Theory – The Principles of Investment Management (2nd ed.): Orinda.
Sari, R., S. Hammoudeh, and U. Soytas. 2009. Dynamics of oils price, precious metal prices, and exchange rate. Energy Economics 32 (2): 351-362.
Scholz, H., & Wilkens, M. (2005). A Jigsaw Puzzle of Basic Risk-adjusted Performance Measures. Journal of Performance Measurement 57.
Scholz, H., and M. Wilkens. 2006. Investor-specific performance measurement - A justification of Sharpe ratio and Treynor ratio. Working Paper.
Sembiring, F. M. 2012. Analisis pembentukan portofolio optimal berdasarkan Single Index Model pada saham-saham yang dikelola oleh manajer investasi PT Panin Securities. Portofolio 9 (1): 1-17.
Septyanto, D., and B. Kertopati. 2014. Analisa pembentukan portofolio dengan menggunakan model markowitz dan single index model pada saham LQ45 di Bursa Efek Indonesia tahun 2009-2013. Working Paper.
Sharpe, W. F. 1966. Mutual fund performance. Journal of Business 39 (1): 119-138. doi: http://dx.doi.org/10.1086/294846.
Thillainathan, R. 1996. Malaysia’s bond market: The further reforms required to escape underdevelopment. ASEAN Economic Bulletin 13 (1): 95-113.
Tkacz, G. 2007. Gold prices and inflation. Working Paper (35). Bank of Canada.
Treynor, J. L. 1965. How to rate management of investment funds. Harvard Business Review 43 (1): 63-75.
Triharjono, S. 2013. Single Index Model sebagai alat analisis optimalisasi portofolio investasi saham (Studi kasus pada kelompok saham LQ-45 di BEI tahun 2009-2011). Jurnal Ilmu Manajemen and Bisnis 4 (1): 1-12.
Worthington, A. C., and M. Pahlavani. 2007. Gold investment as an inflationary hedge: Cointegration evidence with allowance for endogenous structural breaks. Applied Financial Economics Letters 3 (4): 259-262.
Zulkafli, A. H., Z. Ahmad, and E. Armal M. 2017. The performance of socially responsible investments in Indonesia: A study of the Sri Kehati Index (SKI). Gadjah Mada International Journal of Business, 19 (1): 59-76. doi: https://doi.org/10.22146/gamaijb.17959
How to cite:
CHICAGO
Robiyanto, Robiyanto, Sugeng Wahyudi, and Irene Rini Demi Pangestuti. 2017. "The Volatility–Variability Hypotheses Testing and Hedging Effectiveness of Precious Metals for the Indonesian and Malaysian Capital Markets." Gadjah Mada International Journal of Business no. 19 (2):167-192. doi: https://doi.org/10.22146/gamaijb.26260.
APA
Robiyanto, R., Wahyudi, S., & Pangestuti, I. R. D. (2017). The Volatility–Variability Hypotheses Testing and Hedging Effectiveness of Precious Metals for the Indonesian and Malaysian Capital Markets. Gadjah Mada International Journal of Business, 19(2), 167-192. doi: https://doi.org/10.22146/gamaijb.26260
MLA
Robiyanto, Robiyanto, Sugeng Wahyudi, and Irene Rini Demi Pangestuti. "The Volatility–Variability Hypotheses Testing and Hedging Effectiveness of Precious Metals for the Indonesian and Malaysian Capital Markets." Gadjah Mada International Journal of Business 19.2 (2017): 167-92. Print.
