OREKSI BETA PADA PASAR THIN TRADING (LQ-45 DI BEJ PERIODE 2000 – 2001)
Abstract
Jakarta Stock Exchange is still considered a thin market. That causes some stock inactively
traded. Using beta from thin market as having an instrument to develop portfolio may lead to
investment decision error. Therefore, one needs to calculate a new corrected beta to arrive at
efficient portfolio in this Scholes Wiliam method (SW b). Dimson method (DIM b), Fowler and
Rorke method (FR b) are used to correct beta. The result shows that Dimson method (DIM b)
is the best one to use in the LQ45.
traded. Using beta from thin market as having an instrument to develop portfolio may lead to
investment decision error. Therefore, one needs to calculate a new corrected beta to arrive at
efficient portfolio in this Scholes Wiliam method (SW b). Dimson method (DIM b), Fowler and
Rorke method (FR b) are used to correct beta. The result shows that Dimson method (DIM b)
is the best one to use in the LQ45.
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