Gold characteristics as safe haven and assets diversification for Sharia stocks in Indonesia

IF 2.5 Q2 BUSINESS, FINANCE
Sylva Alif Rusmita, Dian Filianti, Ega Nuriayu Mayasani, Khairunnisa Abd Samad
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Abstract

Purpose

This study aims to determine the role of gold as a safe haven, hedge and asset diversification for Shariah stock in conditions of extreme stock market declines.

Design/methodology/approach

Quantitative approach is used by applying the threshold generalized autoregressive conditional heteroskedasticity (TGARCH) model to capture bad or good news in the market condition and quantile regression method to obtain the extreme values of stock returns in several market conditions. The data used were the daily closing price of gold and the Jakarta Islamic Index from January 2011 to October 2022.

Findings

The average conditions show gold does not have a hedge property and only acts as an asset diversification. Second, gold has a substantial, safe haven property in every economic condition. However, the safe-haven property of gold seemed to weaken during the most extreme stock market decline. Thus, although gold appears as a safe haven and asset diversification, it remains a risky investment and only provides a minor role in the face of the extreme stock market period.

Practical implications

This research provides a discourse and literature for Islamic investors and investor managers to choose the right investment instrument in various economic conditions where gold has a function as diversification and safe haven in their asset portfolio under any other asset portfolio conditions which is also in line with modern portfolio theory. For policymakers, the study can be used as material for consideration in making policies related to the accessibility of gold as an investment instrument.

Originality/value

This study presents the originality by using the price of Antam gold as a proxy for gold investment during the latest research year data and focusing on case studies in Islamic capital market in Indonesia. Moreover, this research provides quantile regression that sharply discussion in various economics condition.

黄金作为避风港和资产多样化的特点对印度尼西亚伊斯兰教股票的影响
本研究旨在确定在股市极端下跌的情况下,黄金作为伊斯兰教股票的避风港、对冲工具和资产分散工具所发挥的作用。设计/方法/手段通过应用阈值广义自回归条件异方差(TGARCH)模型来捕捉市场状况中的坏消息或好消息,并采用量化回归方法来获得股票回报率在几种市场状况下的极端值,从而采用定量方法。使用的数据是 2011 年 1 月至 2022 年 10 月黄金和雅加达伊斯兰指数的每日收盘价。研究结果平均条件显示黄金不具有避险属性,只能起到资产多样化的作用。其次,在任何经济条件下,黄金都具有实质性的避险属性。然而,黄金的避险属性似乎在最极端的股市下跌期间有所减弱。本研究为伊斯兰投资者和投资者管理者在各种经济条件下选择正确的投资工具提供了论述和文献,在任何其他资产组合条件下,黄金在其资产组合中都具有多样化和避风港的功能,这也符合现代投资组合理论。对于政策制定者而言,本研究可作为制定与黄金作为投资工具的可得性相关政策时的考虑材料。 原创性/价值 本研究通过使用最新研究年度数据中的 Antam 黄金价格作为黄金投资的替代物,并重点关注印度尼西亚伊斯兰资本市场的案例研究,从而体现了其原创性。此外,本研究还提供了量子回归,在各种经济学条件下进行了尖锐的讨论。
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来源期刊
CiteScore
4.80
自引率
22.70%
发文量
78
期刊介绍: The journal provides a dynamic forum for the advancement of accounting and business knowledge based on Shari’ah and Islamic activities that have an impact on the welfare of society. JIABR publishes articles on the interplay between Islamic business ethics, accounting, auditing and governance, in promoting accountability, socio-economic justice (adl) and everlasting success (al-falah). It seeks to inform, among others, current theoretical and empirical research and practice in Islamic accounting, auditing and corporate governance, management of Islamic organizations, accounting regulation and policy for Islamic institutions, Shari’ah auditing and corporate governance, financial and non-financial performance measurement and disclosure in Islamic institutions and organizations. All styles of research, theoretical and empirical, case studies, practice-based papers and research notes that are well written and falling within the journal''s scope, are generally welcomed by the journal. Scope/Coverage Development of accounting, auditing and corporate governance concepts based on Shari’ah Socio-political influence on accounting and auditing regulation and policy making for Islamic financial institutions and organizations Historical perspectives on Islamic accounting, auditing and financial management Critical analysis on issues and challenges on accounting disclosure and measurement, Shari’ah audit and corporate governance Controls and risks in Islamic organizations Financial and non-financial performance measurement and disclosure.
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