Analysis of the Relationship Between Bitcoin and Gold as Safe Haven Assets Against IHSG Movements in Indonesia: A DCC-GARCH Approach

Abstract

This study examines the role of Bitcoin and gold as safe haven assets against movements in the Indonesia Composite Stock Price Index (IHSG). Using daily closing price data from Yahoo Finance and Investing.com over the period January 2018 to December 2025, this study employs the Dynamic Conditional Correlation–Generalized Autoregressive Conditional Heteroscedasticity (DCC-GARCH) model to estimate time-varying volatility and dynamic conditional correlations among the three asset return series. The 2018–2025 window covers four major shocks: the US–China trade war, the COVID-19 pandemic, the 2022 inflation surge, and the 2024 Bitcoin halving, including the US–China trade war (2018), the COVID-19 pandemic (2020), global inflationary pressures (2022), and the Bitcoin halving event (2024). Estimation results from 1,921 observations indicate that Bitcoin is not confirmed as a safe haven against the IHSG; rather, it functions as a diversifier with a weak positive average conditional correlation (r = +0.0880) and high volatility (standard deviation: 4.19%). Gold likewise does not fulfill the safe haven criteria against the IHSG, but exhibits stronger defensive characteristics with a lower average correlation (r = +0.0491) and considerably more stable volatility (standard deviation: 0.96. The DCC persistence parameter (α + β = 0.96) shows that co-movement among asset pairs remains strong and stable throughout the 2018–2025 period. For Indonesian investors, gold offers more reliable protection in the long run, while Bitcoin may serve a diversification function for investors with higher risk tolerance