Koreksi Bias Koefisien Beta
[Non-Synchronous Trading In Indonesia Stock Exchange]
AbstractThis 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 39874.
Date of creation: Jul 2009
Date of revision:
Publication status: Published in Jurnal Ekonomi dan Bisnis 3.3(2009): pp. 81-89
emerging markets; non-syncronous-trading; thin tradings; bias; trimming;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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.:
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