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Koreksi Bias Koefisien Beta
[Non-Synchronous Trading In Indonesia Stock Exchange]

Author

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  • Pasaribu, Rowland Bismark Fernando

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.

Suggested Citation

  • Pasaribu, Rowland Bismark Fernando, 2009. "Koreksi Bias Koefisien Beta [Non-Synchronous Trading In Indonesia Stock Exchange]," MPRA Paper 39874, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:39874
    as

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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    emerging markets; non-syncronous-trading; thin tradings; bias; trimming;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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