{"id":"https://openalex.org/W2746822774","doi":"https://doi.org/10.22146/gamaijb.26260","title":"The Volatility\u2013Variability Hypotheses Testing and Hedging Effectiveness of Precious Metals for the Indonesian and Malaysian Capital Markets","display_name":"The Volatility\u2013Variability Hypotheses Testing and Hedging Effectiveness of Precious Metals for the Indonesian and Malaysian Capital Markets","publication_year":2017,"publication_date":"2017-08-23","ids":{"openalex":"https://openalex.org/W2746822774","doi":"https://doi.org/10.22146/gamaijb.26260","mag":"2746822774"},"language":"en","primary_location":{"id":"doi:10.22146/gamaijb.26260","doi":"https://doi.org/10.22146/gamaijb.26260","is_oa":true,"landing_page_url":"https://doi.org/10.22146/gamaijb.26260","pdf_url":"https://jurnal.ugm.ac.id/gamaijb/article/download/26260/16976","source":{"id":"https://openalex.org/S2765057965","display_name":"Gadjah Mada International Journal of Business","issn_l":"1411-1128","issn":["1411-1128","2338-7238"],"is_oa":true,"is_in_doaj":true,"is_core":false,"listed_in":["abdc-c","doaj","norway-1","poland-20","russia-white-list-2"],"host_organization":"https://openalex.org/P4310314959","host_organization_name":"Gadjah Mada University","host_organization_lineage":["https://openalex.org/P4310314959"],"host_organization_lineage_names":["Gadjah Mada University"],"type":"journal"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Gadjah Mada International Journal of Business","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"diamond","oa_url":"https://jurnal.ugm.ac.id/gamaijb/article/download/26260/16976","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5086944541","display_name":"Robiyanto Robiyanto","orcid":"https://orcid.org/0000-0003-3565-1594","observed_orcids":["https://orcid.org/0000-0003-3565-1594"]},"institutions":[{"id":"https://openalex.org/I157219812","display_name":"Satya Wacana Christian University","ror":"https://ror.org/009nnre75","country_code":"ID","type":"education","lineage":["https://openalex.org/I157219812"]}],"countries":["ID"],"is_corresponding":true,"raw_author_name":"Robiyanto Robiyanto","raw_affiliation_strings":["Scopus Author ID: 56968203800\nScopus Author ID: 57189469180\nFaculty of Economics and Business Satya Wacana Christian University"],"raw_orcid":"https://orcid.org/0000-0003-3565-1594","affiliations":[{"raw_affiliation_string":"Scopus Author ID: 56968203800\nScopus Author ID: 57189469180\nFaculty of Economics and Business Satya Wacana Christian University","institution_ids":["https://openalex.org/I157219812"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5071789766","display_name":"Sugeng Wahyudi","orcid":"https://orcid.org/0000-0003-2889-7123","observed_orcids":["https://orcid.org/0000-0003-2889-7123"]},"institutions":[{"id":"https://openalex.org/I11855966","display_name":"Diponegoro University","ror":"https://ror.org/056bjta22","country_code":"ID","type":"education","lineage":["https://openalex.org/I11855966"]}],"countries":["ID"],"is_corresponding":false,"raw_author_name":"Sugeng Wahyudi","raw_affiliation_strings":["Scopus ID: 57189356898\nFaculty of Economics and Business Diponegoro University"],"raw_orcid":"https://orcid.org/0000-0003-2889-7123","affiliations":[{"raw_affiliation_string":"Scopus ID: 57189356898\nFaculty of Economics and Business Diponegoro University","institution_ids":["https://openalex.org/I11855966"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5034262329","display_name":"Irene Rini Demi Pangestuti","orcid":"https://orcid.org/0000-0003-3008-0972","observed_orcids":["https://orcid.org/0000-0003-3008-0972"]},"institutions":[{"id":"https://openalex.org/I11855966","display_name":"Diponegoro University","ror":"https://ror.org/056bjta22","country_code":"ID","type":"education","lineage":["https://openalex.org/I11855966"]}],"countries":["ID"],"is_corresponding":false,"raw_author_name":"Irene Rini Demi Pangestuti","raw_affiliation_strings":["Faculty of Economics and Business, Diponegoro University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Faculty of Economics and Business, Diponegoro University","institution_ids":["https://openalex.org/I11855966"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5086944541"],"corresponding_institution_ids":["https://openalex.org/I157219812"],"apc_list":null,"apc_paid":null,"fwci":16.1032,"has_fulltext":true,"cited_by_count":58,"citation_normalized_percentile":{"value":0.98952333,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":100},"biblio":{"volume":"19","issue":"2","first_page":"167","last_page":"167"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.5067999958992004,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.5067999958992004,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.426800012588501,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.041600000113248825,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/hedge-effectiveness","display_name":"hedging effectiveness","score":0.9129999876022339},{"id":"https://openalex.org/keywords/volatility","display_name":"volatility","score":0.5270000100135803},{"id":"https://openalex.org/keywords/stock-market-risk","display_name":"stock market risk","score":0.7070000171661377},{"id":"https://openalex.org/keywords/gold","display_name":"gold","score":0.9179999828338623},{"id":"https://openalex.org/keywords/sharpe-ratio","display_name":"Sharpe ratio","score":0.7730000019073486},{"id":"https://openalex.org/keywords/treynor-ratio","display_name":"Treynor ratio","score":0.9750000238418579},{"id":"https://openalex.org/keywords/risk-adjusted-performance","display_name":"risk-adjusted performance","score":0.9589999914169312},{"id":"https://openalex.org/keywords/indonesia-stock-exchange","display_name":"Indonesia Stock Exchange","score":0.8579999804496765},{"id":"https://openalex.org/keywords/bursa-malaysia","display_name":"Bursa Malaysia","score":0.9660000205039978}],"concepts":[{"id":"https://openalex.org/C139938925","wikidata":"https://www.wikidata.org/wiki/Q1501898","display_name":"Sharpe ratio","level":3,"score":0.733133852481842},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.6598597168922424},{"id":"https://openalex.org/C200870193","wikidata":"https://www.wikidata.org/wiki/Q11691","display_name":"Stock exchange","level":2,"score":0.6582471132278442},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6078706979751587},{"id":"https://openalex.org/C2779207338","wikidata":"https://www.wikidata.org/wiki/Q9240","display_name":"Indonesian","level":2,"score":0.4853719472885132},{"id":"https://openalex.org/C70771513","wikidata":"https://www.wikidata.org/wiki/Q235779","display_name":"Hedge","level":2,"score":0.4621247947216034},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.4484975039958954},{"id":"https://openalex.org/C44723521","wikidata":"https://www.wikidata.org/wiki/Q746086","display_name":"Treynor ratio","level":4,"score":0.4430301785469055},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.43047791719436646},{"id":"https://openalex.org/C2778146478","wikidata":"https://www.wikidata.org/wiki/Q271449","display_name":"Precious metal","level":3,"score":0.42018526792526245},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3970353603363037},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.35548990964889526},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.272030770778656},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.11877310276031494},{"id":"https://openalex.org/C192562407","wikidata":"https://www.wikidata.org/wiki/Q228736","display_name":"Materials science","level":0,"score":0.1074037253856659},{"id":"https://openalex.org/C544153396","wikidata":"https://www.wikidata.org/wiki/Q11426","display_name":"Metal","level":2,"score":0.07581594586372375},{"id":"https://openalex.org/C191897082","wikidata":"https://www.wikidata.org/wiki/Q11467","display_name":"Metallurgy","level":1,"score":0.0756901204586029},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.0},{"id":"https://openalex.org/C41895202","wikidata":"https://www.wikidata.org/wiki/Q8162","display_name":"Linguistics","level":1,"score":0.0},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.22146/gamaijb.26260","doi":"https://doi.org/10.22146/gamaijb.26260","is_oa":true,"landing_page_url":"https://doi.org/10.22146/gamaijb.26260","pdf_url":"https://jurnal.ugm.ac.id/gamaijb/article/download/26260/16976","source":{"id":"https://openalex.org/S2765057965","display_name":"Gadjah Mada International Journal of Business","issn_l":"1411-1128","issn":["1411-1128","2338-7238"],"is_oa":true,"is_in_doaj":true,"is_core":false,"listed_in":["abdc-c","doaj","norway-1","poland-20","russia-white-list-2"],"host_organization":"https://openalex.org/P4310314959","host_organization_name":"Gadjah Mada University","host_organization_lineage":["https://openalex.org/P4310314959"],"host_organization_lineage_names":["Gadjah Mada University"],"type":"journal"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Gadjah Mada International Journal of Business","raw_type":"journal-article"},{"id":"pmh:oai:journal.ugm.ac.id:article/26260","doi":null,"is_oa":true,"landing_page_url":"https://journal.ugm.ac.id/gamaijb/article/view/26260","pdf_url":"https://journal.ugm.ac.id/gamaijb/article/download/26260/16976","source":{"id":"https://openalex.org/S4306400707","display_name":"Indonesian Journal of Biotechnology (Universitas Gadjah Mada)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I165230279","host_organization_name":"Universitas Gadjah Mada","host_organization_lineage":["https://openalex.org/I165230279"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"1411-1128","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:doaj.org/article:76e1205a438d4516aec04752fbc06792","doi":null,"is_oa":true,"landing_page_url":"https://doaj.org/article/76e1205a438d4516aec04752fbc06792","pdf_url":null,"source":{"id":"https://openalex.org/S4306401280","display_name":"DOAJ (DOAJ: Directory of Open Access Journals)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Gadjah Mada International Journal of Business, Vol 19, Iss 2, Pp 167-192 (2017)","raw_type":"article"},{"id":"pmh:oai:jurnal.ugm.ac.id:article/26260","doi":null,"is_oa":true,"landing_page_url":"http://jurnal.ugm.ac.id/gamaijb/article/view/26260","pdf_url":null,"source":{"id":"https://openalex.org/S4306400707","display_name":"Indonesian Journal of Biotechnology (Universitas Gadjah Mada)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I165230279","host_organization_name":"Universitas Gadjah Mada","host_organization_lineage":["https://openalex.org/I165230279"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Gadjah Mada International Journal of Business; Vol 19, No 2 (2017): May-August; 167-192","raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":{"id":"doi:10.22146/gamaijb.26260","doi":"https://doi.org/10.22146/gamaijb.26260","is_oa":true,"landing_page_url":"https://doi.org/10.22146/gamaijb.26260","pdf_url":"https://jurnal.ugm.ac.id/gamaijb/article/download/26260/16976","source":{"id":"https://openalex.org/S2765057965","display_name":"Gadjah Mada International Journal of Business","issn_l":"1411-1128","issn":["1411-1128","2338-7238"],"is_oa":true,"is_in_doaj":true,"is_core":false,"listed_in":["abdc-c","doaj","norway-1","poland-20","russia-white-list-2"],"host_organization":"https://openalex.org/P4310314959","host_organization_name":"Gadjah Mada University","host_organization_lineage":["https://openalex.org/P4310314959"],"host_organization_lineage_names":["Gadjah Mada University"],"type":"journal"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Gadjah Mada International Journal of Business","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2746822774.pdf","grobid_xml":"https://content.openalex.org/works/W2746822774.grobid-xml"},"referenced_works_count":57,"referenced_works":["https://openalex.org/W149661105","https://openalex.org/W205756964","https://openalex.org/W1527859144","https://openalex.org/W1555312774","https://openalex.org/W1555456125","https://openalex.org/W1589283297","https://openalex.org/W1590738085","https://openalex.org/W1727659491","https://openalex.org/W1782991873","https://openalex.org/W1889800997","https://openalex.org/W1966179868","https://openalex.org/W1972603442","https://openalex.org/W1991927132","https://openalex.org/W1995808291","https://openalex.org/W1999996900","https://openalex.org/W2003118606","https://openalex.org/W2012660885","https://openalex.org/W2015856032","https://openalex.org/W2015946628","https://openalex.org/W2029642703","https://openalex.org/W2090134670","https://openalex.org/W2090459474","https://openalex.org/W2098027073","https://openalex.org/W2098092803","https://openalex.org/W2098615868","https://openalex.org/W2106462491","https://openalex.org/W2109404986","https://openalex.org/W2111053470","https://openalex.org/W2112869901","https://openalex.org/W2117806408","https://openalex.org/W2119567814","https://openalex.org/W2120595340","https://openalex.org/W2123456321","https://openalex.org/W2129821762","https://openalex.org/W2149453545","https://openalex.org/W2159337266","https://openalex.org/W2168087746","https://openalex.org/W2175313208","https://openalex.org/W2185334300","https://openalex.org/W2277659201","https://openalex.org/W2464118405","https://openalex.org/W2605529707","https://openalex.org/W2608359176","https://openalex.org/W2612498250","https://openalex.org/W2616905072","https://openalex.org/W3021785762","https://openalex.org/W3121377246","https://openalex.org/W3121940608","https://openalex.org/W3122187992","https://openalex.org/W3123598957","https://openalex.org/W4211139627","https://openalex.org/W4241584625","https://openalex.org/W6606039382","https://openalex.org/W6676207163","https://openalex.org/W6677645136","https://openalex.org/W6677722472","https://openalex.org/W7023871242"],"related_works":["https://openalex.org/W2793372260","https://openalex.org/W3000790442","https://openalex.org/W2625307600","https://openalex.org/W236836275","https://openalex.org/W4414755486","https://openalex.org/W2994484417","https://openalex.org/W2941853946","https://openalex.org/W2992529326","https://openalex.org/W4308491955","https://openalex.org/W7096778472"],"abstract_inverted_index":{"This":[0,34],"study":[1,35,123],"evaluates":[2],"the":[3,22,28,40,48,54,57,60,66,75,79,83,87,95,100,110,115,118,132,139,143,150],"use":[4],"of":[5,65],"futures":[6],"contracts":[7],"for":[8],"precious":[9,62,128],"metals":[10,129],"to":[11],"hedge":[12],"against":[13],"stock":[14],"market":[15],"risks":[16],"and":[17,27,56,117],"their":[18],"hedging":[19,43,50],"effectiveness":[20,51],"on":[21,53,78,86,114],"Indonesian":[23],"Stock":[24,31],"Exchange":[25,32],"(IDX)":[26],"Kuala":[29],"Lumpur":[30],"(KLSE).":[33],"found":[36],"that":[37,125],"gold":[38,147],"was":[39,136],"most":[41],"effective":[42],"instrument,":[44],"since":[45],"it":[46],"produced":[47,141],"highest":[49],"both":[52,113],"IDX":[55,116],"KLSE":[58,88],"among":[59],"other":[61],"metals.":[63],"None":[64],"hedged":[67,84,101],"portfolios":[68,85,102],"had":[69,89],"a":[70,90,105],"higher":[71,91,106],"Sharpe\u2019s":[72,92],"ratio":[73,93,108],"than":[74,94,109],"unhedged":[76,96,111],"one":[77],"IDX;":[80],"however,":[81],"all":[82,99],"ones.":[97],"Almost":[98],"could":[103,130],"produce":[104],"Treynor\u2019s":[107],"portfolios,":[112,145],"KLSE.":[119],"In":[120],"general,":[121],"this":[122],"concluded":[124],"studying":[126],"some":[127],"reduce":[131],"investment":[133],"risk,":[134],"which":[135],"shown":[137],"through":[138],"variance":[140],"by":[142],"smaller":[144],"while":[146],"can":[148],"improve":[149],"risk-adjusted":[151],"performance.":[152]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":5},{"year":2023,"cited_by_count":5},{"year":2022,"cited_by_count":6},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":8},{"year":2019,"cited_by_count":9},{"year":2018,"cited_by_count":17},{"year":2017,"cited_by_count":1}],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2017-08-31T00:00:00"}
