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

Ahmad Faisol (), Nindytia Puspitasari Dalimunthe () and R. A. Fiska Huzaimah
Additional contact information
Ahmad Faisol: Lampung University, Management
Nindytia Puspitasari Dalimunthe: Lampung University, Management
R. A. Fiska Huzaimah: Lampung University, Management

A chapter in Proceedings of the International Conference of Economics, Business, and Entrepreneur (ICEBE 2022), 2023, pp 209-220 from Springer

Abstract: 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.

Keywords: beta; CAPM; two-step regression (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-2-38476-064-0_23

Ordering information: This item can be ordered from
http://www.springer.com/9782384760640

DOI: 10.2991/978-2-38476-064-0_23

Access Statistics for this chapter

More chapters in Advances in Economics, Business and Management Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().