BIAS PADA BETA SAHAM DI PASAR MODAL BERKEMBANG DAN METODE KOREKSINYA Studi empiris di Bursa Efek Jakarta

Arfinto Erman Denny (Adv.Drs.Agus Sartono.,M.B.A), Drs.Agus Sartono.,M.B.A

2000 | Skripsi | S1 Management

The purpose of this research is to empirically analyze the bias beta and correcting method for the bias beta of common stocks in Jakarta Stocks Exchange, using six-lag and six-lead versions of Scholes and Williams Method, Dimson Method, and Fowler and Williams method.This study used daily-end return of 100 stocks traded in Jakarta Stock Exchange during first day of January 1996 to the last day of December 1998, and the daily-end Composite Index in Jakarta Stock



Exchange, as a proxy of market return. The results indicate that there is bias beta in Jakarta Stock



Exchange during this research period. There is also indicate that Fowler and Rorke Method is beta correction method with the better result.

Kata Kunci : pasar modal,bias beta saham,beta correction