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Formulation Of A Dynamic Portfolio With Stocks And Fixed-Income Instruments In The Indonesian Capital Market

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  • Robiyanto Robiyanto
  • Rihfenti Ernayani
  • Rendi Susiswo Ismail

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  • Robiyanto Robiyanto & Rihfenti Ernayani & Rendi Susiswo Ismail, 2019. "Formulation Of A Dynamic Portfolio With Stocks And Fixed-Income Instruments In The Indonesian Capital Market," Organizations and Markets in Emerging Economies, Faculty of Economics, Vilnius University, vol. 10(1).
    • Handle: RePEc:vul:omefvu:v:10:y:2019:i:1:id:268
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    References listed on IDEAS

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    1. Aparicio, Felipe M. & Estrada, Javier, 1997. "Empirical distributions of stock returns: european securities markets, 1990-95," DEE - Working Papers. Business Economics. WB 7054, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    2. Soo-Wah Low & Yi-Bing Chin, 2013. "Refinements to the Sharpe Ratio -- Evidence from Malaysian Equity Funds," Global Economic Review, Taylor & Francis Journals, vol. 42(1), pages 72-97, March.
    3. Dirk G. Baur & Brian M. Lucey, 2010. "Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold," The Financial Review, Eastern Finance Association, vol. 45(2), pages 217-229, May.
    4. El Hedi Arouri, Mohamed & Lahiani, Amine & Nguyen, Duc Khuong, 2015. "World gold prices and stock returns in China: Insights for hedging and diversification strategies," Economic Modelling, Elsevier, vol. 44(C), pages 273-282.
    5. Marek Zinecker & Adam P. Balcerzak & Marcin Faldzinski & Tomas Meluzin & Michal Bernard Pietrzak, 2016. "Application of DCC-GARCH model for analysis of Interrelations among Capital Markets of Poland, Czech Republic and Germany," Chapters, in: Proceedings of the International Scientific Conference Quantitative Methods in Economics Multiple Criteria Decision Making XVIII, edition 1, volume 1, chapter 67, pages 418-423, Institute of Economic Research.
    6. Nico Katzke, 2013. "South African Sector Return Correlations: using DCC and ADCC Multivariate GARCH techniques to uncover the underlying dynamics," Working Papers 17/2013, Stellenbosch University, Department of Economics.
    7. Yuan-Hung Hsu Ku & Ho-Chyuan Chen & Kuang-Hua Chen, 2007. "On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios," Applied Economics Letters, Taylor & Francis Journals, vol. 14(7), pages 503-509.
    8. Ravindra Kamath & Rinjai Chakornpipat & Arjun Chatrath, 1998. "Return distributions and the day-of-the-week effects in the stock exchange of Thailand," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 22(2), pages 97-107, June.
    9. Mesakh Prihanto Surya Putra & Apriani Dorkas Rambu Atahau & Robiyanto Robiyanto, 2018. "Cross–asset class portfolio between gold and stocks in Indonesia," Economic Journal of Emerging Markets, Universitas Islam Indonesia, vol. 10(1), pages 69-81, April.
    10. Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 339-350, July.
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    Cited by:

    1. Andreas Renard Widarto & Harjum Muharam & Sugeng Wahyudi & Irene Rini Demi Pangestuti, 2022. "ASEAN-5 and Crypto Hedge Fund: Dynamic Portfolio Approach," SAGE Open, , vol. 12(2), pages 21582440221, April.
    2. Didik Susilo & Sugeng Wahyudi & Irene Rini Demi Pangestuti & Bayu Adi Nugroho & Robiyanto Robiyanto, 2020. "Cryptocurrencies: Hedging Opportunities From Domestic Perspectives in Southeast Asia Emerging Markets," SAGE Open, , vol. 10(4), pages 21582440209, November.

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