GOLD: HEDGE, SAFE HAVEN OR DIVERSIFIER FOR INDONESIAN CAPITAL MARKET

This study scrunitize whether gold can act as hedge, diversifier and safe haven in Indonesian Capital Market. Data employed in this study are monthly Jakarta Composite Index and monthly international gold spot price during January 1999 to September 2013. Using Generalized Autocorrelation Conditional Heteroscedasticity (GARCH), the results show that gold can not act as hedge and diversifier in Indonesian Capital  Market because both instruments have comovement. Furthermore, gold can not act as robust safe haven in Indonesian Capital  Market. These findings suggest that it is better to investors whose already hold Indonesian stocks as their portfolio to exclude gold as their part of portfolio and divert their portfolio to other instrument with risk free characteristic such as Indonesia sovereign debt and Indonesia sovereign Sukuk during financial market crash.