ANALISIS BIAS BETA SAHAM-SAHAM UNGGULAN

Abstract

Capital market in Indonesia is still a viable investment vehicle for investors (including the medium-scale businesses) who want to invest into a stock asset types. This study aims to examine the bias beta stocks that are members of the group LQ-45 Index by Fowler and Rorke correction model. Based on the test results in 40 stocks, it is known that in some beta stocks, the value does not bias the results obtained from the initial regression or from the results of the regression using one period lag and lead. This means that the shares are not overly influenced by non-synchronous trading problems that can lead to bias beta calculation. However, in some stocks, there is also a need correction period up to 4 lag and 4 leads. This means that even relatively illiquid, but leading shares remained potentially affected trade issues are out of sync (non-synchronous trading) so it is necessary to test the beta bias.