ANALISIS PERANAN EMAS DAN OBLIGASI PEMERINTAH INDONESIA SEBAGAI SAFE HAVEN PADA PERIODE 2018 – 2020

Abstract

This research was conducted to determined the role of gold and Indonesian government bonds as safe havens in Indonesia for 2018 – 2020. The tests in this study used the quantile regression method based on the results of the correlation between gold returns and government bond returns with returns stocks with index LQ45. The two instruments in this study will be tested in unfavorable market conditions or a bear market. . The data used in this study uses monthly data for the period 2018 to 2020. The results of this study indicate that gold acts as a safe haven in 2019. Meanwhile, government bonds do not act as a safe haven during the 2018 – 2020.