Abstract:
This study aims to determine whether the beta value of shares listed on the
Indonesia Stock Exchange (BEI) is a bias beta due to nonsynchronous trading
activities. There are 310 companies listed on the Stock Exchange 2009-2012
period sampled in this study. The bias needs to be corrected. From three
methods employed : the Scholes and Williams (1977), the Dimson (1979), and
the Fowler and Rorke (1983). Results of the analysis conclude that the shares
on the Stock Exchange has a bias beta caused by not having a securities trading
for some time. This resulted in the calculation of IHSG the period of t was
biased because it uses the closing price of the period t-1.
In this study bias beta correction method Scholes and Williams (1977), both
one lag one lead and two lag two lead are better than the bias beta correction
method Dimson (1979) and the bias beta correction method Fowler and Rorke
(1983) because the value of beta Scholes and Williams after corrected close to
one
Keywords :
Nonsynchronous tradings, thin tradings, bias
