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...
| Main Authors: | , |
|---|---|
| Format: | Thesis |
| Published: |
[Yogyakarta] : Universitas Gadjah Mada
2011
|
| Subjects: |
| 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). |
|---|