Analisis Perbandingan Return dan Risiko Investasi Emas Digital pada PT Pegadaian (Persero) dan Emas Batangan PT Aneka Tambang Tbk sebagai Instrumen Safe Haven Asset di Indonesia Periode 2021–2025

Salma Wahyu Marifah, Henri Dwi Wahyudi

Abstract


Penelitian ini bertujuan menganalisis perbedaan return, risiko, efektivitas safe haven, dan optimalitas investasi emas digital PT Pegadaian (Persero) dan emas batangan PT Aneka Tambang Tbk selama periode 2021–2025. Penelitian menggunakan pendekatan kuantitatif dengan desain deskriptif komparatif dan data sekunder bulanan berupa harga emas, Indeks Harga Saham Gabungan (IHSG), serta BI 7-Day Reverse Repo Rate. Analisis dilakukan menggunakan average return, standard deviation, Value at Risk (VaR), Conditional Value at Risk (CVaR), korelasi Pearson, serta Sharpe Ratio. Pengujian hipotesis menggunakan paired-sample t-test, uji Pitman–Morgan, dan metode Jobson–Korkie dengan koreksi Memmel. Hasil penelitian menunjukkan bahwa tidak terdapat perbedaan signifikan dalam return, risiko, dan optimalitas kedua instrumen. Pada kondisi market stress, emas digital Pegadaian menunjukkan korelasi negatif signifikan terhadap IHSG, sedangkan emas batangan Antam tidak signifikan. Namun, hasil tersebut sensitif terhadap periode pengamatan dan terbatas pada enam observasi bulanan, sehingga efektivitas safe haven belum dapat dipastikan secara kuat.

Keywords


Emas Batangan, Emas Digital, Return, Risiko Investasi, Safe Haven.

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DOI: https://doi.org/10.17509/ijdb.v6i1.107363

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