Indonesian Capital Market Review
Vol. 14, No. 1

The Analysis of the Roles of Bitcoin, Ethereum, and Gold as Hedge and Safe-Haven Assets on the Indonesian Stock Market before and during the COVID-19 Pandemic

Wijaya, Carla A. (Unknown)
Ulpah, Maria (Unknown)

Article Info

Publish Date
31 Jan 2022

Abstract

The uncertainty due to the COVID-19 outbreak has encouraged investors to look for value hedging instruments to minimize risk, which can be in the form of hedging assets or safe-haven assets. In response to it, this study aims to find out whether Bitcoin, Ethereum, and gold can behave as hedging and safe-haven assets before and amid the pandemic in Indonesia. The strategy is by observing the effects of volatility and return of Bitcoin, Ethereum, and gold on the Indonesian stock market. This study employed both quantile regression and simple linear regression models on data of daily closing price taken before and during COVID-19. This study finds that they can be hedge and safe-haven assets during the COVID-19 pandemic in Indonesia. The findings show some significant correlations between assets that can help investors determine which assets can be hedging instruments.

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Journal Info
Indonesian Capital Market Review
Website

Abbrev

publication:icmr

Publisher

Universitas Indonesia

Subject

Economics, Econometrics & Finance

Description

The intent of the Editors of The Indonesian Capital Market Review is to discuss, to explore, and to disseminate the latest issues and developments in Empirical Financial Economics particularly those related to financial frictions in the Emerging Markets. The topics cover capital markets, financial ...