Time Varying Beta (Dual Beta): Conditional Market  Timing Capm

Sudarsono, Rachmat; Husnan, Suad; Tandelilin, Eduardus; Ekawati, Erni

doi:10.24123/jmb.v11i2.221

Cited by 3 publications

(1 citation statement)

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“…Ariasih & Mustanda, (2018), Ikadarma, Yandi;Bertuah, (2019) menemukan adanya hubungan negatif signifikan antara conditional beta dengan return saham menggunakan metode Single Index Model. Penelitian Sembiring et al, (2017), Respati et al, (2018), Susanti et al, (2020) menemukan adanya hubungan positif signifikan antara conditional beta dengan return saham menggunakan metode CAPM serta penelitian Sudarsono et al, (2017) , Teh & Lau (2017) menemukan adanya pengaruh negatif dengan menggunakan metode conditional CAPM.…”

Section: Pendahuluanunclassified

Kajian Conditional Beta di Bursa Efek Indonesia

Rovantiane¹,

Robiyanto²

2021

inobis

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Penelitian ini mengkaji risiko sistematis pada dua periode pasar yang berbeda (bearish dan bullish) di Bursa Efek Indonesia (BEI), serta meneliti apakah terdapat perbedaan risiko sistematis pada kedua periode pasar tersebut. Data yang digunakan dalam penelitian ini adalah data harga saham penutupan harian saham terpilih dan penutupan harian Indeks Harga Saham Gabungan (IHSG) periode 2 Januari 2017 sampai dengan 30 Desember 2020, dengan data yang diperoleh dari Investing.com. Metode pengambilan sampel yang digunakan adalah metode purposive sampling dengan kriteria tidak pernah melakukan stock split, tidak pernah dihentikan sementara (suspensed), dan diperdagangkan secara aktif selama periode pengamatan, agar tidak terjadi bias. Sebanyak 20 saham ditemukan yang memenuhi kriteria tersebut. Hasil penelitian menunjukkan bahwa tidak ada perbedaan antara bull dan bear beta. Kemudian, tidak ada perbedaan antara periode keseluruhan dan bull atau bear beta. Temuan menyiratkan bahwa investor dan manajer portofolio dapat menggunakan semua periode beta sebagai proksi risiko sistematis mereka.

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Section: Pendahuluanunclassified

Kajian Conditional Beta di Bursa Efek Indonesia

Rovantiane¹,

Robiyanto²

2021

inobis

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Estimating systematic risk for the best investment decisions on manufacturing company in Indonesia

Puspitaningtyas

2017

Investment Management and Financial Innovations

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Estimation of systematic risk is one of the important aspects of the best investment decisions. Through systematic risk prediction will be known risks to be faced by investors, because systematic risk is a measure of investment risk. In addition to returns, investors always consider the risk of investment, because investors are rational individuals, ie individuals who always consider the trade-off between return and risk. At a certain level of return, investors will tend to choose investments with the lowest risk level. Conversely, at a certain level of risk, investors tend to choose investments with the highest return rate. The purpose of this paper is to analyze the influence of the financial information on the systematic risk of stock manufacturing companies listed on the Indonesia Stock Exchange over a period of five years from January 2011 to December 2015. The financial information is measured in four accounting variables, i.e. financial leverage, liquidity, profitability, and firm size. The results of data analysis using multiple linear regression method to prove that at the 0.05 level only variable sized companies that significantly influence systematic risk. Meanwhile, the variable financial leverage, liquidity, and profitability does not affect the systematic risk. The results showed inconsistencies with the results of several previous studies. This inconsistency may be due to measurement problems variable accounting, the implementation period of the study, and the use of different research samples.

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The Risk of Being Unsystematic and Stock Returns: The Empirical Test on Capital Validity of Capital Asset Pricing Model

Rachel

2014

MABIS

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The objective of this research is to analyze the effect of idiosyncratic risk to stock return on Indonesia Stock Exchange. To test these variables, the study applied two pass regression with time series data of stock return LQ45 and stock price index from January 2014 - December 2014. The estimation method used in the first pass regression was selected by characteristics of the return data, that is EGARCH (1,1) method for heterokedasticity data and Ordinary Least Squares for constant variance data. Specifications on the second pass regression models using cross section data, that is month by month cross sectional regression of 30 stock portfolios, which aim to identify unsystematic risk role in explaining the behavior of the return from stock portfolio. The findings of this study indicate that unsystematic risk has insignificant effect on stock return. These findings support the statement postulated in Capital Asset Pricing Model (CAPM), that the only relevant risk in explaining the return of stock only systematic risk, so there is no statistical evidence is strong enough to declare that the unsystematic risk can play a role in explaining the movement of stock return.

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Time Varying Beta (Dual Beta): Conditional Market Timing Capm

Cited by 3 publications

References 0 publications

Kajian Conditional Beta di Bursa Efek Indonesia

Kajian Conditional Beta di Bursa Efek Indonesia

Estimating systematic risk for the best investment decisions on manufacturing company in Indonesia

The Risk of Being Unsystematic and Stock Returns: The Empirical Test on Capital Validity of Capital Asset Pricing Model

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