Analisis Volatilitas dan Korelasi Dinamis Antara Saham Syariah, Sukuk, dan Logam Mulia pada Periode Multiple Crisis

Abstract

Penelitian ini bertujuan untuk menganalisis dinamika volatilitas dan korelasi antar aset alternatif berupa saham syariah, sukuk, dan logam mulia serta menyusun portofolio optimal selama periode tersebut. Data yang digunakan adalah data indeks harian dari S&P Global Inc. dalam rentang waktu 2015 hingga 2025. Metode yang digunakan meliputi model DCC-MGARCH, Efficient Frontier, dan Dynamic Conditional Value at Risk (CVaR). Hasil penelitian menunjukan bahwa volatilitas aset meningkat selama periode multiple crisis dibandingkan sebelumnya, dengan sukuk tetap paling stabil dan saham syariah serta logam mulia mengalami lonjakan lebih tinggi, terutama logam mulia sebagai respons permintaan safe haven. Sebelum krisis, korelasi saham syariah dan logam mulia cenderung negatif sehingga efektif untuk diversifikasi, namun selama krisis korelasi ketiga aset meningkat menuju positif, mencerminkan contagion correlation yang mengurangi manfaat diversifikasi. Portofolio optimal dengan sharpe ratio tertinggi terbentuk dari kombinasi logam mulia dan saham syariah.

This study aims to analyze the dynamics of volatility and correlation among alternative assets, namely sharia stocks, sukuk, and precious metals, and to construct an optimal portfolio during this period. The data used consists of daily index data from S&P Global Inc. from 2015 to 2025. The methods employed include the DCC-MGARCH model, the Efficient Frontier, and Dynamic Conditional Value at Risk (CVaR). The research findings show that asset volatility increased during periods of multiple crises compared to before, with sukuk remaining the most stable. Sharia stocks and precious metals experienced higher spikes, especially precious metals in response to safe haven demand. Before the crisis, the correlation between sharia stocks and precious metals tended to be negative, making it effective for diversification. However, during the crisis, the correlation of all three assets increased towards positive, reflecting a contagion correlation that reduced diversification benefits. The optimal portfolio with the highest Sharpe ratio was formed from a combination of precious metals and sharia stocks.