Download This PaperKoreksi Bias Koefisien Beta Di Bursa Efek Indonesia
Jurnal Ekonomi dan Bisnis, Vol. 3, No. 2, July 2009
25 Pages Posted: 11 May 2011 Last revised: 15 May 2011
Date Written: July 22, 2009
Abstract
This research aim to clarify deflect value of beta-stock coefficient enlisted Indonesian Stock Exchange and correction to the diffraction value by Scholes and Williams, Dimson, and also Fowler and Rorke method. The result indicate that beta-stock value is deflect, others result form normality-test also confirm the abnormal of return distribution. Adequate correction method for abnormal return distribution is Scholes And Williams with correct period 2 lag and 3 lead, while for normal distribution is Fowler-Rorke method with correct period 3 lag and 1 lead.
Keywords: Nonsyncronous-trading, thin tradings, bias, emerging market, trimming
JEL Classification: G11, G12, G14
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