Bias Beta And Beta Correction Models Testing: Empirical Evidence In Indonesia Stock Exchange Period 2007-2009

Darjono, Yuki Ekatania and Marciano, Deddy and Wijaya, Liliana Inggrit (2011) Bias Beta And Beta Correction Models Testing: Empirical Evidence In Indonesia Stock Exchange Period 2007-2009. In: The 8th International Annual Symposium On Management, March 19th, 2011, Universitas Surabaya.

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Abstract

Beta is a measure of systematic risk. Theoretically, market beta, the average of beta of all securities in the market, is defined by 1. Empirical evidence in Indonesian Stock Exchange (IDX) shows that there are a significant number of illiquid securities which causes a non-synchronous trading. Non-synchronous trading made a bias on beta value. Based on those facts, this study analyzes the existence of bias on beta values in the IDX. Using 113 samples of listing firm in the IDX from 2007 until 2009, this study conducted tests for all of these firms, subsample of I 0% and subsample of 5% degree of significance of beta. Test result indicates that there is a bias on beta value in the IDX, except for the firms with 10% degree of significance. For all firms the best method to correct the bias is Scholes and Williams with I lead and lag period. For firms with 10% degree of significance, the trade is synchronous, so the beta correction method is not needed. For firms with 5% degree of significance, there is no method can be used to correct the bias.

Item Type:	Conference or Workshop Item (Paper)
Uncontrolled Keywords:	non-synchronous trading, bias beta, thin trading
Subjects:	H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions:	Faculty of Business and Economic > Department of Management
Depositing User:	Ester Sri W. 196039
Date Deposited:	13 Apr 2022 08:41
Last Modified:	13 Apr 2022 08:42
URI:	http://repository.ubaya.ac.id/id/eprint/41761

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