Testing of The Gold’s Role as a Safe Haven and Hedge for Sharia Stocks in Indonesia

R. Robiyanto


Gold as a commodity, since ancient time, is always viewed as a safe haven asset. This study tested the function of gold as a safe haven and hedge for sharia stocks in Indonesia. Data used in this study are a monthly closing of Jakarta Islamic Index (JII) on Indonesia Stock Exchange and monthly closing price of gold in the international market during May 2008 until September 2017. Data analysis was done by using OLS and QREG. The result of this study is gold can serve as a hedge for sharia stocks in Indonesia during the research period. The study further found that when extreme shocks occur in the Indonesian stock market, gold can serve as a safe haven asset for sharia stocks in Indonesia. Investor suggested shifting their assets into gold to secure their investment when stock market conditions experience a drastic decline.

DOI: 10.15408/aiq.v10i2.6527


gold: Jakarta Islamic index; quantile regression; safe haven asset; hedging


Agha, S. E., Saafi, A. R., & Qayoom, O. A. (2015). Gold Investment from Islamic Perspective: The Case of Malaysia. International Journal of Economics and Finance. Vol. 7(5): 179-185. DOI: https://doi.org/10.5539/ijef.v7n5p179.

Agyei-Ampomah, S., Gounopoulos, D., & Mzaouz, K. (2013). Does Gold Offer a Better Protection Against Sovereign Debt Crisis Than Other Metals. Paper presented at the EFMA.

Ahmad, A. A., & Halin, M. A. A. (2014). The Concept of Hedging in Islamic Financial Transactions. Asian Social Science. Vol. 10(8): 42-49. DOI: https://doi.org/10.5539/ass,v10n8p42.

Aksoy, M., & Topcu, N. (2013). Relationship Between Gold, Stock and Inflation. Ataturk University Journal of Economics & Administrative Sciences. Vol. 27(1): 59-78.

Arouri, M. E. H., Lahiani, A., & Nguyen, D. K. (2014). World Gold Proces and Stock Return in China: Insights for Hedging and Diversification Strategies. Working Paper.

Baur, D. G., & Lucey, B. M. (2010). Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold. The Financial Review. Vol. 45: 217-229. DOI: https://doi.org/10.1111/j.1540-6288.2010.00244.x

Baur, D. G., & McDermott, T. K. (2009). Is Gold a Safe Haven?: International Evidence. Institute for International Integration Studies (IIIS) Discussion Paper(310).

Baur, D. G., & McDermott, T. K. J. (2012). Safe Haven Assets and Investor Behaviour Under Uncertainty. Working Paper. UTS, School of Business. Sydney.

Beber, A., Brandt, M. W., & Kavajecz, K. A. (2006). Flight-To-Quality or Flight-To-Liquidity? Evidence From The Euro-Area Bond Market. NBER Working Paper No. 12376. retrieved from: http://www.nber.org/papers/w12376.

Beckmann, J., & Czudaj, R. (2012). Gold as an Inflation Hedge in a Time-Varying Coefficient Framework. RUHR Economic Papers(362).

Capie, F., Mills, T. C., & Wood, G. (2005). Gold As a Hedge Against The Dollar. Journal of International Financial Markets Institution & Money. Vol. 15: 343-352. DOI://doi.org/ 10.1016/j.intfin.2004.07.002

Ciner, C., Gurdgiev, C., & Lucey, B. M. (2012). Hedges and Safe Havens – An Examination of Stocks, Bonds, Oil, Gold and the Dollar. Working Paper.

Coudert, V., & Raymond-Feingold, H. (2011). Gold and Financial Assets: Are There Any Safe Havens in Bear Markets? Economics Bulletin. Vol. 31(2): 1613-1622.

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. Vol. 2(1): 1-16.

Do, G. Q., Mcaleer, M., & Sriboonchitta, S. (2009). Effects of International Gold Market on Stock Exchange Volatility: Evidence from ASEAN Emerging Stock Markets. Economics Bulletin. Vol. 29(2): 599-610.

Ernayani, R., Robiyanto., & Sudjinan. (2017). Factors Influencing Profit Distribution Management of Sharia Commercial Banks in Indonesia. Journal of Economics, Business & Accountancy Ventura. Vol. 20(2): 187-192. DOI: https://doi.org/ 10.14414/jebav.v20i2.1055

Ghazali, M. F., Lean, H. H., & Bahari, Z. (2013). Is Gold a Hedge or a Safe Haven? An Empirical Evidence of Gold and Stocks in Malaysia. International Journal of Business and Society. Vol. 14(3): 428-443.

Ghazali, M. F., Lean, H. H., & Bahari, Z. (2015). Sharia Compliant Gold Investment in Malaysia: Hedge or Safe Haven? Pacific-Basin Finance Journal. Vol. 34: 192-204. DOI: https://doi.org/10.1016/j.pacfin.2014.12.005

Ghazali, M. F., Lean, H. H., & Baharia, Z. (2016). Gold Investments in Malaysia. Paper presented at the The 2016 International Congress on Banking, Economics, Finance, and Business. Sapporo, Japan.

Ghosh, D., Levin, E. J., MacMillan, P., & Wright, R. E. (2004). Gold as an Inflation Hedge? Studies in Economics and Finance. Vol. 22(1): 1-25.

Gorton, G., & Rouwenhorst, K. G. (2006). Facts and Fantasies About Commodity Futures. Financial Analysts Journal. Vol. 62: 47-68.

Hillier, D., Draper, P., & Faff, R. (2006). Do Precious Metals Shine? An Investment Perspective. Financial Analysts Journal. Vol. 62(3/4): 98-106. DOI: https://doi.org/10.2469/faj.v62.n2.4085

Hood, M., & Malik, F. (2013). Is Gold the Best Hedge and a Safe Haven Under Changing Stock Market Volatility. Review of Financial Economic. Vol. 22(2): 47-52. DOI: https://doi.org/10.1016/j.rfe.2013.03.001

Hossenidoust, E., Janor, H., Yusefi, M., Majid, H. A., & Ja'afar, R. (2013). Volatility Spillovers across Commodity and Stock Markets among ASEAN Countries. Paper presented at the Persidangan Kebangsaan Ekonomi Malaysia VIII(PERKEM VIII) Johor Bahru.

Hussin, M. Y. M., Muhammad, F., Razak, A. A., Tha, G. P., & Marwan, N. (2013). The Link between Gold Price, Oil Price and Islamic Stock Market: Experience from Malaysia. Journal of Studies in Social Sciences. Vol. 4(2): 161-182.

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. Vol. 5(1): 25-34. DOI: https://doi.org/10.1108/17538391211216802

Ibrahim, M. H., & Baharom, A. H. (2012). The Role of Gold in Financial Market: A Malaysian Perspective. Economic Computation & Economic Cybernetics Studies & Research. Vol. 45 (4): 227-238.

Joy, M. (2011). Gold and The US Dollar: Hedge or Haven? Finance Research Letters. Vol. 8: 120-131. DOI: https://doi.org/10.1016/j.frl.2011.01.001

Kaul, A., & Sapp, S. (2006). Y2K Fears and Safe Haven Trading of the U.S. Dollar. Journal of International Money and Finance. Vol. 25(5): 760-779. DOI: https://doi.org/10.1016/j.jimonfin.2006.04.003

Kumar, D. (2014). Return and Volatility Transmission Between Gold and Stock Sectors: Application of Portfolio Management and Hedging Effectiveness. IIMB Management Review. Vol. 26(1): 5-16. DOI: https://doi.org/10.1016/j.iimb.2013.12.002

Mulyadi, M. S., & Anwar, Y. (2012). Gold Versus Stock Investment: An Econometric Analysis. International Journal of Development and Sustainability. Vol. 1(1): 1-7.

Pangestuti, I. R. D., Wahyudi, S., & Robiyanto. (2017). Performance Evaluation of Equity Mutual Funds in Indonesia Period of 2012-2014. Jurnal Keuangan dan Perbankan. Vol. 21(4): 527-542.

Patel, S. A. (2013). Causal Relationship Between Stock Market Indices and Gold Price: Evidence from India. IUP Journal of Applied Finance. Vol. 19(1): 99-109.

Ratner, M., & Klein, S. (2008). The portfolio implications of gold investment. Journal of Investing. Vol. 17(1): 77-87. DOI: https://doi.org/10.3905/joi.2008.701958

Robiyanto. (2015). Month of the Year Effect Pada Beberapa Pasar Modal di Asia Tenggara dan Pasar Komoditas. Jurnal Ekonomi dan Bisnis. Vol. XVIII(2): 53-64. DOI: http://dx.doi.org/10.24914/jeb.v18i2.260

Robiyanto. (2017a). The Analysis of Capital Market Integration in ASEAN Region by Using the OGARCH Approach. Jurnal Keuangan dan Perbankan. Vol. 21(2): 169-175.

Robiyanto. (2017b). Performance Evaluation and Risk Aversion Rate for Several Stock Indices in Indonesia Stock Exchange. Jurnal Manajemen dan Kewirausahaan. Vol. 19(1): 60-64. DOI: https://doi.org/10.9744/jmk.19.1.60-64

Robiyanto., Wahyudi, S., & Pangestuti, I. R. D. (2017a). Testing Commodities as Safe Haven and Hedging Instrument on ASEAN's Five Stock Markets Jurnal Ekonomi Kuantitatif Terapan. Vol. 10(2): 231-238 . doi: https://doi.org/10.24843/JEKT.2017.v10.i02.p11

Robiyanto., Wahyudi, S., & Pangestuti, I. R. D. (2017b). The Volatility–Variability Hypotheses Testing and Hedging Effectiveness of Precious Metals for the Indonesian and Malaysian Capital Markets. Gadjah Mada International Journal of Business. Vol. 19(2): 167-192. DOI: https://doi.org/10.22146/gamaijb.26260

Rosyidah, U. (2014). Minat Masyarakat Berinvestasi Emas Pada Pegadaian Shari'ah di Lombok (The Interest of People Investing at Pawnshop Shariah in Lombok). Jurnal Penelitian Keislaman. Vol. 10(1): 63-80.

Suganda, T. R., & Soetrisno, Y. (2016). Uji Integrasi dan Contagion Effect Pasar Modal Pada Lima Negara ASEAN: Riset Empiris Pasca Terjadinya Krisis Subprime Mortgage dan Krisis Yunani (Integration Test and Capital Market Contagnion Effect on Five ASEAN Countries: Empirical Research Post Subprime Mortgage Crisis and Greek Crisis). Jurnal Keuangan dan Perbankan. Vol. 20(2): 252-262.

Sujit, K. S., & Kumar, B. R. (2011). Study on Dynamic Relationship Among Gold Price, Oil Price, Exchange Rate and Stock Market Returns. International Journal of Applied Business and Economic Research. Vol. 9(2): 145-165.

Triyono, D., & Robiyanto. (2017). The Effect of Foreign Stock Indexes and Indonesia’s Macroeconomics Variables Toward Jakarta Composite Stock Price Index (JCI) Advanced Science Letters. Vol. 23(8): 7211-7214. DOI: https://doi.org/10.1166/asl.2017.9332

Ulirrahmi, F. (2012). Investasi Emas Dalam Perspektif Hukum Islam (Gold Investment in Islamic Law Perspective. (Unpublished Bachelor Thesis). Surakarta: Universitas Muhammadiyah Surakarta.

Full Text: PDF

DOI: 10.15408/aiq.v10i2.6527


  • There are currently no refbacks.