Analisis Komparatif Return dan Volatilitas antara Emas Fisik dan Saham Emiten Emas di BEI Periode 2020–2026
DOI:
https://doi.org/10.54065/jss.6.4.2026.1325Keywords:
Gold Stocks, Holding Period Return, Investment Risk, Physical Gold, Standard DeviationAbstract
Global economic uncertainty during 2020–2026 increased fluctuations in investment assets and strengthened the importance of selecting instruments with appropriate return and risk characteristics. This study aims to compare the investment performance of physical gold and gold-related stocks listed on the Indonesia Stock Exchange (IDX) based on return and cross-sectional performance characteristics. The study employed a quantitative descriptive-comparative design using secondary historical price data obtained from TradingView. The analysis covered five investment instruments, namely physical gold represented by XAU/IDR and four gold-related stocks: PT Aneka Tambang Tbk (ANTM), PT Bumi Resources Minerals Tbk (BRMS), PT Hartadinata Abadi Tbk (HRTA), and PT J Resources Asia Pasifik Tbk (PSAB), observed from January 2, 2020 to March 17, 2026. Data were analyzed using Holding Period Return (HPR), mean return, range, and cross-sectional standard deviation, followed by a historical investment simulation of IDR 100 million. The results show that physical gold generated an HPR of 299.64%, while the gold-stock group produced an average HPR of 724.53%. BRMS recorded the highest HPR at 1,411.11%, followed by HRTA at 1,040.91%, ANTM at 343.79%, and PSAB at 102.29%. The gold-stock group exhibited substantial cross-sectional dispersion, with a standard deviation of approximately 606.53% and a range of 1,308.82%, indicating considerable performance differences among issuers. These findings indicate that gold-related stocks offered higher average wealth-accumulation potential during the observation period, but their performance varied markedly across issuers. Physical gold, meanwhile, generated a positive cumulative return that was lower than the stock-group average but higher than PSAB. The results imply that investment decisions should consider both expected return and differences in performance across instruments, while stock selection remains particularly important when investing in gold-related equities.
References
Akhtaruzzaman, M., Boubaker, S., Lucey, B. M., & Sensoy, A. (2021). Is gold a hedge or a safe-haven asset in the COVID-19 crisis? Economic Modelling, 102, 105588. https://doi.org/10.1016/j.econmod.2021.105588
Alkhazali, O. M., & Zoubi, T. A. (2020). Gold and portfolio diversification: A stochastic dominance analysis of the Dow Jones Islamic indices. Pacific-Basin Finance Journal, 60, 101264. https://doi.org/10.1016/j.pacfin.2020.101264
Baur, D. G., & Smales, L. A. (2020). Hedging geopolitical risk with precious metals. Journal of Banking & Finance, 117, 105823. https://doi.org/10.1016/j.jbankfin.2020.105823
Będowska-Sójka, B., Demir, E., & Zaremba, A. (2022). Hedging geopolitical risks with different asset classes: A focus on the Russian invasion of Ukraine. Finance Research Letters, 50, 103192. https://doi.org/10.1016/j.frl.2022.103192
Bouoiyour, J., Selmi, R., & Wohar, M. E. (2018). Measuring the response of gold prices to uncertainty: An analysis beyond the mean. Economic Modelling, 75, 105–116. https://doi.org/10.1016/j.econmod.2018.06.010
Burdekin, R. C. K., & Tao, R. (2021). The golden hedge: From global financial crisis to global pandemic. Economic Modelling, 95, 170–180. https://doi.org/10.1016/j.econmod.2020.12.009
Cheng, S., Zhang, Z., & Cao, Y. (2022). Can precious metals hedge geopolitical risk? Fresh sight using wavelet coherence analysis. Resources Policy, 79, 102972. https://doi.org/10.1016/j.resourpol.2022.102972
Chiang, T. C. (2022). The effects of economic uncertainty, geopolitical risk and pandemic upheaval on gold prices. Resources Policy, 76, 102546. https://doi.org/10.1016/j.resourpol.2021.102546
Drake, P. P. (2022). The gold-stock market relationship during COVID-19. Finance Research Letters, 44, 102111. https://doi.org/10.1016/j.frl.2021.102111
Echaust, K., & Just, M. (2022). Is gold still a safe haven for stock markets? New insights through the tail thickness of portfolio return distributions. Research in International Business and Finance, 63, 101788. https://doi.org/10.1016/j.ribaf.2022.101788
Fang, L., Yu, H., & Xiao, W. (2018). Forecasting gold futures market volatility using macroeconomic variables in the United States. Economic Modelling, 72, 249–259. https://doi.org/10.1016/j.econmod.2018.02.003
Fianiningsi, F., Nasrullah, N., & Sahabuddin, S. (2026). The effect of current ratio, debt-to-equity ratio, and return on assets on stock prices of food and beverage companies listed on the Indonesia Stock Exchange (IDX) 2022–2024. Journal Social Society, 6(3). https://doi.org/10.54065/jss.6.3.2026.1347
Kamal, J. B., Wohar, M., & Kamal, K. B. (2022). Do gold, oil, equities, and currencies hedge economic policy uncertainty and geopolitical risks during COVID crisis? Resources Policy, 78, 102920. https://doi.org/10.1016/j.resourpol.2022.102920
Khurshid, A., Khan, K., Rauf, A., & Cifuentes-Faura, J. (2024). Effect of geopolitical risk on resources prices in the global and Russian-Ukrainian context: A novel Bayesian structural model. Resources Policy, 88, 104536. https://doi.org/10.1016/j.resourpol.2023.104536
Kinateder, H., Campbell, R., & Choudhury, T. (2021). Safe haven in GFC versus COVID-19: 100 turbulent days in the financial markets. Finance Research Letters, 43, 101951. https://doi.org/10.1016/j.frl.2021.101951
Kumar, A. S., & Padakandla, S. R. (2022). Testing the safe-haven properties of gold and bitcoin in the backdrop of COVID-19: A wavelet quantile correlation approach. Finance Research Letters, 47, 102707. https://doi.org/10.1016/j.frl.2022.102707
Li, S., Zhang, W., & Zhang, W. (2023). Dynamic time-frequency connectedness and risk spillover between geopolitical risks and natural resources. Resources Policy, 82, 103554. https://doi.org/10.1016/j.resourpol.2023.103554
Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77–91. https://doi.org/10.1111/j.1540-6261.1952.tb01525.x
Melawati, M., & Annisa, D. (2026). Pengaruh nilai perusahaan dan kesempatan bertumbuh terhadap return saham dengan kebijakan dividen sebagai variabel moderasi. Journal Social Society, 6(3), 2505–2518. https://doi.org/10.54065/jss.6.3.2026.1514
Ming, L., Yang, P., & Liu, Q. (2023). Is gold a hedge or a safe haven against stock markets? Evidence from conditional comoments. Journal of Empirical Finance, 74, 101439. https://doi.org/10.1016/j.jempfin.2023.101439
Ngo, V. M., Nguyen, P. V., & Hoang, Y. H. (2024). The impacts of geopolitical risks on gold, oil and financial reserve management. Resources Policy, 90, 104688. https://doi.org/10.1016/j.resourpol.2024.104688
Randanan, G. F., & Furqan, A. C. (2025). Exploring the correlation between green investment, financial performance, and corporate value in Indonesian manufacturing: A study on 2019–2023 period. Income Journal of Economics Development, 5(2), 263–274. https://doi.org/10.54065/ijed.5.2.2025.435
TradingView. (2026). Historical price data for XAU/IDR, ANTM, BRMS, HRTA, and PSAB for the 2020–2026 observation period.
Tufano, P. (1998). The determinants of stock price exposure: Financial engineering and the gold mining industry. The Journal of Finance, 53(3), 1015–1052. https://doi.org/10.1111/0022-1082.00042
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2026 Irwin Ananta Vidada, Saridawati Saridawati, Raden Muhammad Tedy Aliudin, Agung Suprianto, Etika Sabariah
This work is licensed under a Creative Commons Attribution 4.0 International License.
License and Copyright Agreement
- Authors retain copyright and other proprietary rights related to the article.
- Authors retain the right and are permitted to use the substance of the article in their own future works, including lectures and books.
- Authors grant the journal the right of first publication with the work simultaneously licensed under Creative Commons Attribution License (CC BY 4.0) that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this journal.
- Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgment of its initial publication in this journal.
- Authors are permitted and encouraged to post or self-archive their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work.
