Advanced Search
MyIDEAS: Login

Koreksi Bias Koefisien Beta
[Non-Synchronous Trading In Indonesia Stock Exchange]

Contents:

Author Info

  • Pasaribu, Rowland Bismark Fernando
Registered author(s):

    Abstract

    This study aimed to clarify the value of the bias beta stocks listed on the Indonesia Stock Exchange and make corrections to the bias value using Scholes and Williams, Dimson, and Fowler and Rorke. Results of this study indicate that the stock beta is the value of bias, besides the results normality test also confirmed that the distribution of stock returns of issuers that are used to calculate beta coefficients are not normally distributed. Correction methods are not sufficient to return the normal distribution is the Scholes and Williams with a correction of two and three leads lag period, while for the normal distribution of data return that Fowler-Rorke method is a method that is sufficient in reducing the bias on the stock with a three lag and correction one leads beta period.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://mpra.ub.uni-muenchen.de/39874/
    File Function: original version
    Download Restriction: no

    Bibliographic Info

    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 39874.

    as in new window
    Length:
    Date of creation: Jul 2009
    Date of revision:
    Publication status: Published in Jurnal Ekonomi dan Bisnis 3.3(2009): pp. 81-89
    Handle: RePEc:pra:mprapa:39874

    Contact details of provider:
    Postal: Schackstr. 4, D-80539 Munich, Germany
    Phone: +49-(0)89-2180-2219
    Fax: +49-(0)89-2180-3900
    Web page: http://mpra.ub.uni-muenchen.de
    More information through EDIRC

    Related research

    Keywords: emerging markets; non-syncronous-trading; thin tradings; bias; trimming;

    Find related papers by JEL classification:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Baesel, Jerome B, 1974. "On the Assessment of Risk: Some Further Considerations," Journal of Finance, American Finance Association, vol. 29(5), pages 1491-94, December.
    2. Cohen, Kalman J, et al, 1980. " Implications of Microstructure Theory for Empirical Research on Stock Price Behavior," Journal of Finance, American Finance Association, vol. 35(2), pages 249-57, May.
    3. Chen, Son-Nan, 1981. "Beta Nonstationarity, Portfolio Residual Risk and Diversification," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(01), pages 95-111, March.
    4. McInish, Thomas H & Wood, Robert A, 1986. " Adjusting for Beta Bias: An Assessment of Alternative Techniques: A Note," Journal of Finance, American Finance Association, vol. 41(1), pages 277-86, March.
    5. Kalman J. Cohen & Gabriel A. Hawawini & Steven F. Maier & Robert A. Schwartz & David K. Whitcomb, 1983. "Estimating and Adjusting for the Intervalling-Effect Bias in Beta," Management Science, INFORMS, vol. 29(1), pages 135-148, January.
    6. Hawawini, Gabriel & Cohen, Kalman & Maier, Steven & Schwartz, Robert & Whitcomb, David, 1980. "Implications of microstructure theory for empirical research in stock price behavior," MPRA Paper 33976, University Library of Munich, Germany.
    7. Berglund, Tom & Liljeblom, Eva & Loflund, Anders, 1989. "Estimating betas on daily data for a small stock market," Journal of Banking & Finance, Elsevier, vol. 13(1), pages 41-64, March.
    8. Altman, Edward I & Jacquillat, Bertrand C & Levasseur, Michel, 1974. "Comparative Analysis of Risk Measures: France and the United States," Journal of Finance, American Finance Association, vol. 29(5), pages 1495-1511, December.
    9. Porter, R. Burr & Ezzell, John R., 1975. "A note on the predictive ability of beta coefficients," Journal of Business Research, Elsevier, vol. 3(4), pages 365-372, October.
    10. Blume, Marshall E, 1971. "On the Assessment of Risk," Journal of Finance, American Finance Association, vol. 26(1), pages 1-10, March.
    11. Kolb, Robert W & Rodriguez, Ricardo J, 1989. "The Regression Tendencies of Betas: A Reappraisal," The Financial Review, Eastern Finance Association, vol. 24(2), pages 319-34, May.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:39874

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.