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Yes, Beta was Invalid During Covid-19: Evidence from Islamic Stock Index Indonesia

In: Proceedings of the International Conference of Economics, Business, and Entrepreneur (ICEBE 2022)

Author

Listed:
  • Ahmad Faisol

    (Lampung University, Management)

  • Nindytia Puspitasari Dalimunthe

    (Lampung University, Management)

  • R. A. Fiska Huzaimah

    (Lampung University, Management)

Abstract

The COVID-19 pandemic has raised the assumption that the market has systematic risk or negative beta so that the formation of an asset portfolio will not be effective in dealing with the risk of loss. However, the rapid recovery of some stock markets in several countries as the outbreak escalates has put this assumption into question. Therefore, this study aims to test the validity of beta in explaining stock returns during the outbreak period, which is empirically tested on Islamic stocks in Indonesia. The research was conducted since the first period of the discovery of Covid19 patients in Indonesia, namely on March 3, 2020 to March 3, 2022 by using a two-step regression method which showed invalid beta results during the covid-19 period, so that the formation of returns in the market was influenced by other factors not described in the model.

Suggested Citation

  • Ahmad Faisol & Nindytia Puspitasari Dalimunthe & R. A. Fiska Huzaimah, 2023. "Yes, Beta was Invalid During Covid-19: Evidence from Islamic Stock Index Indonesia," Advances in Economics, Business and Management Research, in: Nairobi & Yuliansyah & Habibullah Jimad & Ryzal Perdana & Gede Eka Putrawan & Trio Yuda Septiawan (ed.), Proceedings of the International Conference of Economics, Business, and Entrepreneur (ICEBE 2022), pages 209-220, Springer.
    • Handle: RePEc:spr:advbcp:978-2-38476-064-0_23
    DOI: 10.2991/978-2-38476-064-0_23
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