International Journal of Advanced Engineering and Technology

International Journal of Advanced Engineering and Technology

ISSN: 2456-7655

Vol. 3, Issue 4 (2019)

How to calculate the risk (Beta) in Indonesia stock exchange (IDX): Empirical Test of LQ-45 Stock Period 2009-2018

Author(s): Dr. Ir Hakiman Thamrin
Abstract: This study aims to test the beta value on the Indonesia Stock Exchange (IDX), is it true that it tends to approach one as stated by Boumol (1971) and Pefindo, one of the rating agencies in Indonesia, in determining the beta value of correction. The test uses the Scholles Williams, Dimson, and Fowler Rorke methods, then the method that produces the beta value is closest to the future price. This research was conducted on LQ-45 stocks listed on the Indonesia Stock Exchange for the 2009-2018 observation period using a sample of 30 issuers. The stock price data used in this study is the monthly stock price for 10 years. The results showed that beta values could be corrected using the three methods mentioned above. Of the three methods, correction with the Dimson method produces a correction beta value that is closest to the predicted value in the future.
Pages: 30-33  |  100 Views  29 Downloads
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