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

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

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...

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Bibliographic Details
Main Authors: Robiyanto Robiyanto, Sugeng Wahyudi, Irene Rini Demi Pangestuti
Format: Article
Language:English
Published: Universitas Gadjah Mada 2017-08-01
Series:Gadjah Mada International Journal of Business
Subjects:
Precious metals
DCC-GARCH
Risk Adjusted Returns
Hedging Effectiveness
Optimal Hedge Ratio
Online Access:https://jurnal.ugm.ac.id/gamaijb/article/view/26260

Internet

https://jurnal.ugm.ac.id/gamaijb/article/view/26260

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