Testing Commodities as Safe Haven and Hedging Instrument on ASEAN's Five Stock Markets
Abstract
This study attempts to analyze commodity market instruments such as gold, silver, platinum, palladium, and West Texas Intermediate (WTI) crude oil’s potential as hedge and safe haven toward some stock markets in South East Asia such as in Indonesia, Singapore, Malaysia, Philippines, and Thailand. To analyze the data, GARCH (1,1) was applied.
The research findings showed that gold, silver, platinum, palladium, and WTI could not play their role as hedging instrument for five South East Asian capital markets. WTI could act as a robust safe haven for most South East Asian capital markets. Gold could do the role as a robust safe haven in Singapore and Malaysia, whereas, platinum and silver consistently could be safe haven only for Singapore Stock Exchange. Palladium could only be safe haven for Philippines Stock Exchange.
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References
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Ghosh D, Levin EJ, MacMillan P, Wright RE. 2004. Gold as an Inflation Hedge? Studies in Economics and Finance 22(1):1-25.
Greene WH. 2003. Econometric Analysis 5th Edition. New Jersey: Prentice Hall.
Greer RJ. 1997. What is an Asset Class, Anyway? Journal of Portfolio Management 23(2):86-91.
Hood M, Malik F. 2013. Is Gold the Best Hedge and a Safe Haven Under Changing Stock Market Volatility. Review of Financial Economic 22(2):47-52.
Ibrahim MH. 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 MH, Baharom AH. 2012. The Role of Gold in Financial Market: A Malaysian Perspective. Economic Computation & Economic Cybernetics Studies & Research.
Jubinski D, Lipton AF. 2013. VIX, Gold, and Oil: How Do Commodities React to Financial Market Volatility. Journal of Accounting and Finance 13(1):70-88.
Malliaris AG, Malliaris M. 2011. Are Oil, Gold and the Euro Inter-related? Time Series and Neural Network Analysis. Munich Personal RePEc Archive MPRA Paper No. 35266.
Morley C. 2011. Is Gold a Safe Haven for Equity Investor? A VAR-GARCH Analysis. Working Paper.
Mulyadi MS, Anwar Y. 2012. Gold Versus Stock Investment: An Econometric Analysis. International Journal of Development and Sustainability 1(1):1-7.
Nastou B. 2013. Thinking About Asset Alocation In 2013. Investment Insight February 2013:1-6.
Posedel P. 2005. Properties and Estimation of GARCH(1,1)Model. Metodoloski zvezk 2(2):243-257.
Sujit KS, Kumar BR. 2011. Study On Dynamic Relationship Among Gold Price, Oil Price, Exchange Rate and Stock Market Returns. International Journal of Applied Business and Economic Research 9(2):145-165.
Tkacz G. 2007. Gold Prices and Inflation. Bank of Canada Working Paper 2007-35.
Worthington AC, Pahlavani M. 2007. Gold Investment as an Inflationary Hedge: Cointegration Evidence With
Allowance for Endogenous Structural Breaks. Applied Financial Economics Letters 3(4):259-262.
Agyei-Ampomah S, Gounopoulos D, Mzaouz K. 2013. Does Gold Offer a Better Protection Against Soverign Debt Crisis Than Other Metals. EFMA.
Batten JA, Ciner C, Lucey BM, Szilagyi PG. 2013. The Structure of Gold and Silver Spread Returns. Quantitative Finance 13:561-570.
Baur DG. 2013. Gold - Fundamental Drivers and Asset Allocation. SSRN. Electronic copy available at: http://ssrn.com/abstract=2240831.
Baur DG, Lucey BM. 2010. Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold. The Financial Review 45:217-229.
Baur DG, Tran DT. 2012. The Long-run Relationship of Gold and Silver and the Influence of Bubbles and Financial Crises. Working Paper.
Beber A, Brandt MW, Kavajecz KA. 2006. Flight-To-Quality or Flight-To-Liquidity? Evidence From The Euro-Area
Bond Market. NBER Working Paper Series. Electronic copy available at: http://www.nber.org/papers/w12376.
Billingsley R. 2005. Understanding Arbitrage: An Intuitive Approach to Financial Analysis. Prentice Hall Professional.
Bollerslev T. 1986. Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics 31:307-327.
Capie F, Mills TC, Wood G. 2005. Gold As a Hedge Against The Dollar. Journal of International Financial Markets Institution & Money 15:343-352.
Dee J, Li L, Zheng Z. 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.
Dubey P, Geanakoplos J, Shubik M. 2002. Is Gold an Efficient Store of Value. Cowles Foundation Discussion Paper. Connecticut: Cowles Foundation For Research in Economics, Yale University.
Enders W. 2009. Applied Econometric Time Series. John Wiley & Sons, Inc.
Figuerola-Ferretti I, Gonzalo J. 2010. Price Discovery and Hedging Properties of Gold and Silver Markets. Working Paper.
Ghosh D, Levin EJ, MacMillan P, Wright RE. 2004. Gold as an Inflation Hedge? Studies in Economics and Finance 22(1):1-25.
Greene WH. 2003. Econometric Analysis 5th Edition. New Jersey: Prentice Hall.
Greer RJ. 1997. What is an Asset Class, Anyway? Journal of Portfolio Management 23(2):86-91.
Hood M, Malik F. 2013. Is Gold the Best Hedge and a Safe Haven Under Changing Stock Market Volatility. Review of Financial Economic 22(2):47-52.
Ibrahim MH. 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 MH, Baharom AH. 2012. The Role of Gold in Financial Market: A Malaysian Perspective. Economic Computation & Economic Cybernetics Studies & Research.
Jubinski D, Lipton AF. 2013. VIX, Gold, and Oil: How Do Commodities React to Financial Market Volatility. Journal of Accounting and Finance 13(1):70-88.
Malliaris AG, Malliaris M. 2011. Are Oil, Gold and the Euro Inter-related? Time Series and Neural Network Analysis. Munich Personal RePEc Archive MPRA Paper No. 35266.
Morley C. 2011. Is Gold a Safe Haven for Equity Investor? A VAR-GARCH Analysis. Working Paper.
Mulyadi MS, Anwar Y. 2012. Gold Versus Stock Investment: An Econometric Analysis. International Journal of Development and Sustainability 1(1):1-7.
Nastou B. 2013. Thinking About Asset Alocation In 2013. Investment Insight February 2013:1-6.
Posedel P. 2005. Properties and Estimation of GARCH(1,1)Model. Metodoloski zvezk 2(2):243-257.
Sujit KS, Kumar BR. 2011. Study On Dynamic Relationship Among Gold Price, Oil Price, Exchange Rate and Stock Market Returns. International Journal of Applied Business and Economic Research 9(2):145-165.
Tkacz G. 2007. Gold Prices and Inflation. Bank of Canada Working Paper 2007-35.
Worthington AC, Pahlavani M. 2007. Gold Investment as an Inflationary Hedge: Cointegration Evidence With
Allowance for Endogenous Structural Breaks. Applied Financial Economics Letters 3(4):259-262.
Published
2017-08-29
How to Cite
ROBIYANTO, Robiyanto.
Testing Commodities as Safe Haven and Hedging Instrument on ASEAN's Five Stock Markets.
Jurnal Ekonomi Kuantitatif Terapan, [S.l.], aug. 2017.
ISSN 2303-0186.
Available at: <https://ojs.unud.ac.id/index.php/jekt/article/view/24863>. Date accessed: 24 apr. 2024.
doi: https://doi.org/10.24843/JEKT.2017.v10.i02.p11.
Section
Articles
Keywords
Safe Haven; Hedging; West Texas Intermediate; Precious Metals
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