BIAS PADA BETA DAN METODE KOREKSINYA STUDI EMPIRIS PADA BURSA EFEK JAKARTA

Bing, Siem Wang (2005) BIAS PADA BETA DAN METODE KOREKSINYA STUDI EMPIRIS PADA BURSA EFEK JAKARTA. S2 thesis, UAJY.

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Abstract

Investor must consider the risk when making investmentdecision. Investor need to understand the market risk (beta) for each stock. Bias in equity stock beta can make investor make wrong decisions. The purpose of this research are to test whether there is a bias in LQ45 stock beta or not and to find the best correction method for beta in LQ45 stocks, therefore investor can get the real information about market risk. This research use linear and multiple regression as statistical analysis and Ordinary Least Square method. Sample in this research are every stock in LQ45 that list in period 2000-2004, listing in Jakarta Stock Exchange before January 1st 2000 and do not make company actions. The result of this research shows that beta in LQ45's stocks are bias and need to be corrected. From the three method employed: Scholes & Williams (1977), Dimson (1979) and Fowler & Rorke (1983) , the best method to reducing the bias is Fowler & Rorke method with two lags and two leads.

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