Koreksi Bias Koefisien Beta

Non-Synchronous Trading In Indonesia Stock Exchange

Rowland Bismark Fernando Pasaribu

MPRA Paper from University Library of Munich, Germany

Abstract: This 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.

Keywords: emerging markets; non-syncronous-trading; thin tradings; bias; trimming (search for similar items in EconPapers)
JEL-codes: G12 G32 (search for similar items in EconPapers)
Date: 2009-07
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Published in Jurnal Ekonomi dan Bisnis 3.3(2009): pp. 81-89

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