Gold as a commodity, since ancient time, is always viewed as a safe haven asset. This study tested the function of gold as a safe haven and hedge for sharia stocks in Indonesia. Data used in this study are a monthly closing of Jakarta Islamic Index (JII) on Indonesia Stock Exchange and monthly closing price of gold in the international market during May 2008 until September 2017. Data analysis was done by using OLS and QREG. The result of this study is gold can serve as a hedge for sharia stocks in Indonesia during the research period. The study further found that when extreme shocks occur in the Indonesian stock market, gold can serve as a safe haven asset for sharia stocks in Indonesia. Investor suggested shifting their assets into gold to secure their investment when stock market conditions experience a drastic decline. Abstrak. Emas sebagai komoditas, semenjak jaman dahulu kala selalu dipandang sebagai aset teraman. Penelitian ini secara khusus menguji fungsi emas sebagai aset teraman (safe haven) dan pelindung nilai (hedge) bagi saham-saham syariah di Indonesia. Data yang dipergunakan dalam penelitian ini adalah data Jakarta Islamic Index (JII) penutupan bulanan di Bursa Efek Indonesia dan data harga emas penutupan bulanan di pasar internasional selama periode bulan Mei 2008 hingga bulan September 2017. Analisis data dilakukan dengan mengguna kan OLS dan QREG. Hasil penelitian ini adalah emas dapat berfungsi sebagai pelindung nilai (hedge) bagi saham-saham syariah di Indonesia selama periode penelitian. Lebih lanjut penelitian ini menemukan bahwa ketika terjadi goncangan yang sangat ekstrim di pasar saham, maka emas dapat berfungsi menjadi aset teraman (safe haven) bagi saham-saham syariah di Indonesia. Investor disarankan untuk mengalihkan aset mereka dalam bentuk emas guna meng amankan investasinya ketike terjadi penurunan yang drastis di pasar modal. Kata kunci: emas, Jakarta Islamic index, regresi kuantil, aset teraman, lindung nilai.
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