Cross-Asset Portfolio Modeling: A Comparative Study of Symmetrical and Asymmetric Dynamic Methods
This study aims to develop a dynamic portfolio model based on asset class, precious metals, world oil, and dollar index. This study performs a comparative test between the Dynamics Conditional Correlation (DCC) and Asymmetric Dynamics Conditional Correlation (ADCC) to determine the best method in fo...
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| Format: | Article |
| Language: | Indonesian |
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Universitas 17 Agustus 1945 (UNTAG) Semarang
2025-01-01
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| Series: | Media Ekonomi dan Manajemen |
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| Online Access: | https://jurnal.untagsmg.ac.id/index.php/fe/article/view/5302 |
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| author | Dismas Oktavianto Robiyanto Robiyanto Andrian Dolfriandra Huruta |
| author_facet | Dismas Oktavianto Robiyanto Robiyanto Andrian Dolfriandra Huruta |
| author_sort | Dismas Oktavianto |
| collection | DOAJ |
| description | This study aims to develop a dynamic portfolio model based on asset class, precious metals, world oil, and dollar index. This study performs a comparative test between the Dynamics Conditional Correlation (DCC) and Asymmetric Dynamics Conditional Correlation (ADCC) to determine the best method in forming a dynamic portfolio. Four big cap companies on the Indonesian stock market (BBCA, BBRI, BMRI, and ASII) are examined in this study. The data used were daily returns for the period of January 2, 1998 – December 31, 2020, analyzed using Dynamics Conditional Correlation (DCC) and Asymmetric Dynamics Conditional Correlation (ADCC). The results of empirical testing suggest that including gold, world oil, and dollar index into the dynamic portfolio might increase the portfolio performance and minimize its risks. The stock-gold portfolios formed by utilizing the DCC and ADCC-GARCH methods outperform those composed of only stock. Gold could act as a financial system stabilizer by mitigating losses in the case of extreme negative market shocks. Stock-WTI portfolios formed by utilizing the DCC and ADCC-GARCH methods also outperform those composed of only stock. |
| format | Article |
| id | doaj-art-a92296ca73e447348e9f1920bc320ccb |
| institution | Kabale University |
| issn | 0854-1442 2503-4464 |
| language | Indonesian |
| publishDate | 2025-01-01 |
| publisher | Universitas 17 Agustus 1945 (UNTAG) Semarang |
| record_format | Article |
| series | Media Ekonomi dan Manajemen |
| spelling | doaj-art-a92296ca73e447348e9f1920bc320ccb2025-01-20T07:46:15ZindUniversitas 17 Agustus 1945 (UNTAG) SemarangMedia Ekonomi dan Manajemen0854-14422503-44642025-01-01401608110.56444/mem.v40i1.53021985Cross-Asset Portfolio Modeling: A Comparative Study of Symmetrical and Asymmetric Dynamic MethodsDismas Oktavianto0Robiyanto Robiyanto1Andrian Dolfriandra Huruta2Master of Management Program Faculty of Economics and Business Satya Wacana Christian University Salatiga, IndonesiaScopus ID [56968203800] Faculty of Economics and Business, Satya Wacana Christian University, Salatiga, IndonesiaFaculty of Economics and Business Satya Wacana Christian University Salatiga, IndonesiaThis study aims to develop a dynamic portfolio model based on asset class, precious metals, world oil, and dollar index. This study performs a comparative test between the Dynamics Conditional Correlation (DCC) and Asymmetric Dynamics Conditional Correlation (ADCC) to determine the best method in forming a dynamic portfolio. Four big cap companies on the Indonesian stock market (BBCA, BBRI, BMRI, and ASII) are examined in this study. The data used were daily returns for the period of January 2, 1998 – December 31, 2020, analyzed using Dynamics Conditional Correlation (DCC) and Asymmetric Dynamics Conditional Correlation (ADCC). The results of empirical testing suggest that including gold, world oil, and dollar index into the dynamic portfolio might increase the portfolio performance and minimize its risks. The stock-gold portfolios formed by utilizing the DCC and ADCC-GARCH methods outperform those composed of only stock. Gold could act as a financial system stabilizer by mitigating losses in the case of extreme negative market shocks. Stock-WTI portfolios formed by utilizing the DCC and ADCC-GARCH methods also outperform those composed of only stock.https://jurnal.untagsmg.ac.id/index.php/fe/article/view/5302portfolioprecious metalsdollar indexworld oilasset class |
| spellingShingle | Dismas Oktavianto Robiyanto Robiyanto Andrian Dolfriandra Huruta Cross-Asset Portfolio Modeling: A Comparative Study of Symmetrical and Asymmetric Dynamic Methods Media Ekonomi dan Manajemen portfolio precious metals dollar index world oil asset class |
| title | Cross-Asset Portfolio Modeling: A Comparative Study of Symmetrical and Asymmetric Dynamic Methods |
| title_full | Cross-Asset Portfolio Modeling: A Comparative Study of Symmetrical and Asymmetric Dynamic Methods |
| title_fullStr | Cross-Asset Portfolio Modeling: A Comparative Study of Symmetrical and Asymmetric Dynamic Methods |
| title_full_unstemmed | Cross-Asset Portfolio Modeling: A Comparative Study of Symmetrical and Asymmetric Dynamic Methods |
| title_short | Cross-Asset Portfolio Modeling: A Comparative Study of Symmetrical and Asymmetric Dynamic Methods |
| title_sort | cross asset portfolio modeling a comparative study of symmetrical and asymmetric dynamic methods |
| topic | portfolio precious metals dollar index world oil asset class |
| url | https://jurnal.untagsmg.ac.id/index.php/fe/article/view/5302 |
| work_keys_str_mv | AT dismasoktavianto crossassetportfoliomodelingacomparativestudyofsymmetricalandasymmetricdynamicmethods AT robiyantorobiyanto crossassetportfoliomodelingacomparativestudyofsymmetricalandasymmetricdynamicmethods AT andriandolfriandrahuruta crossassetportfoliomodelingacomparativestudyofsymmetricalandasymmetricdynamicmethods |