DOI: https://doi.org/10.14710/jbs.29.2.80-88

In Search of Stock Market Proxy to Calculate Systematic Risk (Beta) of Stocks in Indonesia Stock Exchange

*Mochammad Chabachib orcid  -  Universitas Diponegoro, Indonesia
Open Access Copyright 2020 JURNAL BISNIS STRATEGI

Citation Format:
Abstract

The calculation of beta stock in Indonesia is still debatable to this day. Though many researchers who have used sophisticated methods mathematically, the assumptions applied in developing the methods are impossible to happen in the real world, such as the ability of stock market return the day after (lead) affects the market return today. This study was conducted to assess the stock price index in Indonesia Stock Exchange that can be used as a proxy of stock market in Indonesia. The results of this study showed that there was a gap between beta stocks counted with JCI return as a market proxy with beta stocks counted with index returns of LQ-45, SRI-KEHATI, PEFINDO-25, BISNIS-27, IDX-30 and KOMPAS-100. This study has also found that the beta counted by using KOMPAS-100 return produced the smallest standard error of the estimate (SEE) that it was more applicable compared to the other stock index returns.

Fulltext View|Download
Keywords: Beta; LQ-45; SRI-KEHATI; PEFINDO-25; BISNIS-27; IDX-30; KOMPAS-100
Funding: None

Article Metrics:

Article Info
Section: Articles
Language : EN
Recent articles
Peran Local Celebrity Endorsement Pada Iklan di Media Sosial Terhadap Pembelian Produk Kuliner di Provinsi Bali Pada Masa Stay Home Akibat Pandemi Covid-19 Pengaruh Kepuasan Kerja dan Kontrak Psikologis Terhadap Intention To Quit dengan Komitmen Organisasi Sebagai Variabel Intervening (Studi Pada Pt. Krakatau Steel, Tbk) In Search of Stock Market Proxy to Calculate Systematic Risk (Beta) of Stocks in Indonesia Stock Exchange More recent articles
Most cited articles
PERHITUNGAN NILAI BUDAYA DENGAN MENGGUNAKAN VALUE SURVEY MODULE 2008: SEBUAH TELAAH KRITIS ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI STRUKTUR MODAL (Studi Perbandingan Pada Manufacture Multinational Company dan Manufacture Domestic Corporation di Bursa Efek Indonesia) THE RELATIONSHIP BETWEEN CORPORATE GOVERNANCE STRUCTURE AND THE LEVEL OF VOLUNTARY DISCLOSURE DETERMINANTS OF SALES PERSON PERFORMANCE Cognitive Limitations and Decision Making More cited articles
  1. Arfinto, E. D. (2006). Bias Beta di Pasar Modal Indonesia dan Metode Koreksinya. Working Paper
  2. Basu, S., & Rizzuto, R. (1995). Pitfalls in Using the S&P Bogey for Financial Analysis and Portfolio Management. Journal of Financial and Strategic Decisions, 8(3)
  3. Fabozzi, F. J., Gupta, F., & Markowitz, H. M. (2002). The Legacy of Modern Portfolio Theory. Journal of Investing, 11(3), 7-22
  4. Harsono, R. (1999). Gerakan Indeks Harga Saham Gabungan dan LQ45. Paper presented at the Seminar Nasional dan Simposium Hasil-Hasil Penelitian Forum Komunikasi Penelitian Manajemen dan Bisnis V, Semarang
  5. Hartono, J. (1998). Dasar-Dasar Teori Portfolio dan Analisis Sekuritas. Yogyakarta: BPFE UGM
  6. Hartono, J., & Surianto. (1999). Bias di Beta Sekuritas dan Koreksinya untuk Pasar Modal yang Sedang Berkembang : Bukti Empiris di BEJ. Paper presented at the Seminar Nasional dan Simposium Hasil-Hasil Penelitian Forum Komunikasi Penelitian Manajemen dan Bisnis V, Semarang
  7. Husnan, S. (2005). Dasar-Dasar Teori Portofolio dan Analisis Sekuritas (5 ed.). Yogyakarta: UPP STIM YKPN
  8. McKenzie, M. D., Brooks, R. D., & Faff, R. W. (2000). The Use of Domestic and World Market Indices in the Estimation of Time-Varying Betas. Journal of Multinational Financial Management, 10, 91-106
  9. Sartono, R. A., & Zulaihati, S. (1998). Rasionalitas Investor Terhadap Pemilihan Saham Dan Penentuan Portofolio Optimal Dengan Model Indeks Tunggal Di BEJ. Kelola, 17
  10. Sembiring, F. M., & Rahmah, N. A. (2013). Analisis Bias Beta Saham-Saham Unggulan. Working Paper
  11. Sembiring, F. M., & Rahmah, N. A. (2014). Analisis Bias Beta Saham-Saham Pembentuk Portofolio Optimal. Paper presented at the Seminar Nasional Ekonomi & Bisnis 2014, Bandung
  12. Septiani, N. N. D., & Supadmi, N. L. (2014). Analisis Pengaruh Beta Terhadap Return Saham Periode Sebelum dan Saat Krisis Global. E-Journal Akuntansi Universitas Udayana, 1(1), 19-32
  13. Soetjiono, F., Murhadi, W. R., & Ernawati, E. (2013). Bias Beta dan Koreksi Beta Dalam Bursa Efek Indonesia Periode 2009-2011. Calyptra: Jurnal Ilmiah Mahasiswa Universitas Surabaya, 2(1), 1-9

Last update:

No citation recorded.

Last update: 2024-11-22 02:38:35

No citation recorded.