KOREKSI BIAS BETA SAHAM DI BURSA EFEK INDONESIA PERIODE 2009-2012

Indah Saptorini, Fifi Swandari

Abstract


This  study  aims  to  determine  whether  the  beta  value  of  shares  listed  on  the Indonesia Stock Exchange (BEI) is a bias beta due to nonsynchronous trading activities.  There  are  310  companies  listed  on  the  Stock  Exchange  2009-2012 period  sampled  in  this  study.  The  bias  needs  to  be  corrected.  From  three methods employed : the Scholes and Williams (1977), the Dimson (1979), and the Fowler and Rorke (1983). Results of the analysis conclude that the shares on the Stock Exchange has a bias beta caused by not having a securities trading for  some  time.  This  resulted  in  the  calculation  of  IHSG  the  period  of  t  was biased because it uses the closing price of the period t-1. 

In  this  study  bias  beta  correction  method  Scholes  and  Williams  (1977),  both one lag one lead and two lag two lead are better than the bias beta correction method Dimson (1979) and the bias beta correction method Fowler and Rorke (1983) because the value of beta Scholes and Williams after corrected close to one.

Keywords : Nonsynchronous tradings, thin tradings, bias


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DOI: http://dx.doi.org/10.20527/jwm.v1i3.43

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Jurnal Wawasan Manajemen by Magister Manajemen Fakultas Ekonomi dan Bisnis Universitas Lambung Mangkurat is licensed under a Creative Commons Attribution 4.0 International License. Based on a work at jwm.ulm.ac.id.