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All Journal Kinerja Journal of Economics, Business, & Accountancy Ventura Asy-Syir'ah: Jurnal Ilmu Syari'ah dan Hukum
M. Fakhri Husein
Islamic State University of Sunan Kalijaga Yogyakarta
Religion Economics, Econometrics & Finance Law, Crime, Criminology & Criminal Justice

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Journal : Kinerja

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ANALISIS STATIONERITAS BETA DI BURSA EFEK JAKARTA Husein, M. Fakhri
KINERJA Vol 8, No 2 (2004): Kinerja
Publisher : Faculty of Economics Universitas Atma Jaya Yogyakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24002/kinerja.v8i2.896

Abstract

This research tries to explore the issue of beta stationarity on Jakarta Stock Exchange. The tests indicate that the stationarity beta is dependent on the estimation interval. Investor will be better off using a longer estimation period. Understanding beta make it easier for investors to predict their future investments. By using 92 samples listed in BEJ, correlation analysis convey that beta tends not to stay in the same risk class from one period to the next.Keywords: Stasionarity, Beta, correlation coefficient
Co-Authors Galuh Tri Pambekti