Analisis Sensitivitas Harga Saham terhadap Pergerakan Pasar di Bursa Efek Jakarta  

Oleh:

Dossugi, Samuel

Jenis: Article from Journal - ilmiah nasional - tidak terakreditasi DIKTI - atma jaya
Dalam koleksi: Jurnal Ekonomi dan Bisnis vol. 5 no. 2 (Aug. 2005), page 144-152.
Topik: price sensitivity; regression tendency; beta stability
Fulltext: SAMUEL D0SSUGI.pdf (828.65KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ100.5 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Systematic risk or beta as a measure of price sensitivity on market movements is widely used in finance, Though the CAPM assumes that the beta is constant over time, many studies have found evidence that individual stock beta is time varying. This study investigates whether individual stock betas are stable in the Jakarta Stock Exchange from 1998 to 2005. The testes are conducted on 44 individual stocks listed on LQ45. It is found that the average betas measured by three different methods are greater than one. In addition, it seems that there was no a regression tendency in the betas but there was an inter-period stability.

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