Investment in bond, stock, gold, real estate and bitcoin as a hedge against inflation in Indonesia
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Abstract
Constant changes in the prices of goods and services cause inflation. This inflation can cause a decrease in the value of money owned by the community, so it is important for investors to be able to hedge so that the value of wealth is maintained. This study aims to analyze whether there is a cointegration relationship between inflation and bonds, stock markets, gold, real estate and bitcoin in the market in Indonesia. This research was conducted quantitatively using the Johansen's Cointegration Test method analysis technique. The data used in this study are in the form of monthly from 2011 to 2023. The results of the study show that bonds, stock markets, gold and real estate have a cointegration relationship with inflation. However, bitcoin does not have a cointegration relationship with inflation.
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How to Cite
Dewi, S. K., & Suk, K. S. (2024). Investment in bond, stock, gold, real estate and bitcoin as a hedge against inflation in Indonesia . Enrichment : Journal of Management, 14(5), 803-810. https://doi.org/10.35335/enrichment.v14i5.2108
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Yusuf, A., & Prasetyo, A. D. (2019). The effect of inflation, US bond yield, and exchange rate on Indonesia bond yield. Jurnal Perspektif Pembiayaan Dan Pembangunan Daerah, 6(6), 649–656. https://doi.org/10.22437/ppd.v6i6.6853
Anastasia, N., & Hidayat, F. (2019). Hubungan Indeks Harga Properti Residensial Dan Kredit Perbankan. EKUITAS (Jurnal Ekonomi Dan Keuangan), 3(1), 95–111. https://doi.org/10.24034/j25485024.y2019.v3.i1.3998
Blau, B. M., Griffith, T. G., & Whitby, R. J. (2021). Inflation and Bitcoin: A descriptive time-series analysis. Economics Letters, 203, 109848. https://doi.org/10.1016/j.econlet.2021.109848
Chen, Y. F., Chiang, T. C., & Lin, F. L. (2023). Inflation, Equity Market Volatility, and Bond Prices: Evidence from G7 Countries. Risks, 11(11), 1–22. https://doi.org/10.3390/risks11110191
Christou, C., Gupta, R., Nyakabawo, W., & Wohar, M. E. (2018). Do house prices hedge inflation in the US? A quantile cointegration approach. International Review of Economics and Finance, 54, 15–26. https://doi.org/10.1016/j.iref.2017.12.012
Duong, T. H. (2023). The gold price – Inflation relation in the case of Vietnam: empirical investigation in the presence of structural breaks. Asian Journal of Economics and Banking, 7(2), 217–233. https://doi.org/10.1108/ajeb-05-2022-0054
Eldomiaty, T., Saeed, Y., Hammam, R., & AboulSoud, S. (2020). The associations between stock prices, inflation rates, interest rates are still persistent: Empirical evidence from stock duration model. Journal of Economics, Finance and Administrative Science, 25(49), 149–161. https://doi.org/10.1108/JEFAS-10-2018-0105
Hawariyuni, W., & Andrasari, M. (2022). Economics Development Analysis Journal Role of Investment and Macroeconomic Variables on Unemployment in Indonesia Article Information. Economics Development Analysis Journal, 3, 321–328. http://journal.unnes.ac.id/sju/index.php/edaj
Kusumastuty, C., Wulandari, D., Narmaditya, B., & Kamaludin, M. (2019). Do Monetary Variables Affect to Cryptocurrency Price? Lesson From Indonesia. Jurnal Ekonomi Dan Studi Pembangunan, 11(2), 131–142. https://doi.org/10.17977/um002v11i22019p131
Lee, H. K. N. (2013). A cointegration analysis of inflation and real estate returns. Journal of Real Estate Portfolio Management, 19(3), 207–223. https://doi.org/10.1080/10835547.2013.12089956
Li, K. (2019). Portfolio selection with inflation-linked bonds and indexation lags. Journal of Economic Dynamics and Control, 107. https://doi.org/10.1016/j.jedc.2019.103727
Listiawati, L. N., & Paramita, V. S. (2018). Pengaruh Tingkat Suku Bunga, Inflasi, Debt To Equity Ratio, Dan Ukuran Perusahaan Terhadap Yield Obligasi Pada Perusahaan Yang Terdaftar Di Bursa Efek Indonesia Tahun 2010 - 2016. Jurnal Manajemen, 15(1), 18–32. https://doi.org/10.25170/jm.v15i1.97
Muckenhaupt, J., Hoesli, M., & Zhu, B. (2023). Listed Real Estate as an Inflation Hedge Across Regimes. In Journal of Real Estate Finance and Economics (Issue September). Springer US. https://doi.org/10.1007/s11146-023-09964-x
Nafisah, N., & Respatiwulan, R. (2019). Analisis Faktor Indeks Harga Konsumen Kota Semarang. Indonesian Journal of Applied Statistics, 2(2), 113. https://doi.org/10.13057/ijas.v2i2.34903
Nurjanah, I., Azzahra, M., Siti Ftriani Mulia, Delviro, E., & Maya Panorama. (2023). Pengaruh Inflasi dan Suku Bunga Terhadap Indeks Harga Saham Gabungan (IHSG) di Indonesia (Periode 2018-2022). KAFFAH: Jurnal Pendidikan Dan Sosio Keagamaan, 2(1), 50–64.
Nworah, J., Idu, E., & Ogbuefi, J. (2023). The Impact of Inflation on Real Estate Investment Perfomance And Effective Investment Decisions. Journal of Law and Sustainable Development, 11(12), e1625. https://doi.org/10.55908/sdgs.v11i12.1625
Paul, M., & Sharma, P. (2018). Inflation rate and poverty: Does poor become poorer with inflation? International Conference on Multidisciplinary Research, 2018-June, 234–246. https://doi.org/10.26803/myres.2018.19
Rahmansyah, I. C., & Rani, L. N. (2021). Gold Price, Inflation, and Dollar Exchange Rate: The Case of Gold Investment in Indonesia. Indonesian Capital Market Review, 13(1). https://doi.org/10.21002/icmr.v13i1.13238
Salsabila, F., Fatharani, R. A., Taqiyyuddin, T. A., & Irfan, M. (2022). Aplikasi Model ARCH/GARCH dalam Peramalan Laju Inflasi Bulanan Indonesia. Jurnal Sains Matematika Dan Statistika, 8(1), 34. https://doi.org/10.24014/jsms.v8i1.13252
Sarker, P. K., & Wang, L. (2022). Co-movement and Granger causality between Bitcoin and M2, inflation and economic policy uncertainty: evidence from the U.K. and Japan. Heliyon, 8(10), e11178. https://doi.org/10.1016/j.heliyon.2022.e11178
Ślusarczyk, B., Meyer, D. F., & Neethling, J. R. (2020). An evaluation of the relationship between government bond yields, exchange rates and other monetary variables : the South African case. Journal of Contemporary Management, 17(2), 523–549. https://doi.org/10.35683/jcm20143.89
Wicaksono, M. yusuf. (2016). Pengaruh Inflasi, Kurs Dollar, Dan Suku Bunga Terhadap Harga Emas Di Indonesia. Jurnal Pendidikan Dan Ekonomi, 5(2), 143–149.
Widianto, A. (2023). Inflasi Indonesia 10 Tahun | Bolasalju.com — Riset dan Edukasi Investasi. Https://Www.Bolasalju.Com/. https://www.bolasalju.com/artikel/inflasi-indonesia-10-tahun/
Wolski, R. (2022). Investments in Bonds, Stocks, Gold and Real Estate as a Hedge Against Inflation. Acta Universitatis Lodziensis. Folia Oeconomica, 3(360), 1–17. https://doi.org/10.18778/0208-6018.360.01
Yusuf, A., & Prasetyo, A. D. (2019). The effect of inflation, US bond yield, and exchange rate on Indonesia bond yield. Jurnal Perspektif Pembiayaan Dan Pembangunan Daerah, 6(6), 649–656. https://doi.org/10.22437/ppd.v6i6.6853