Identifying the Role of Gold on Sustainable Investment in Indonesia: The DCC-GARCH Approach

This research investigated the performance of a dynamic portfolio that consists sustainable/ethical stocks and gold. The main purpose this study is to prove inclusion gold in portfolios could produce better performance. Therefore, method used research, DCC-GARCH, was relaxing basic assumptions theory modern under assumption normality stock return securities would have constant correlation. data such as SRI-KEHATI Index (SKI) Jakarta Islamic (JII) Indonesia proxy for sustainable investments. Additionally, from 2013 2019. able provide evidence regarding ability minimize level risk. However, led lower rate return. Based on OLS regression, also proven weak safe haven investment Indonesia. Investors who believe ethical may include time-varying approach when formulating reduce risk significantly. hedging effectiveness. Overall, supports some previous findings an instrument, which if involved portfolio.