The Analysis of Return Interval Differences on Beta Estimation (An Empirical Study on Companies Listed in Jakarta Stock Exchange that Constitute LQ45 Index from March 2013 – February 2016)

Syarah, Bakti Aimi (2016) The Analysis of Return Interval Differences on Beta Estimation (An Empirical Study on Companies Listed in Jakarta Stock Exchange that Constitute LQ45 Index from March 2013 – February 2016). Diploma thesis, Universitas Andalas.

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Abstract

This research investigated about intervaling effect by analyzing the impact of different return interval used to the fluctuation in price (beta estimation) on companies listed in Jakarta Stock Exchange that constitute LQ45 Index from March 2013 until February 2016. The data are daily, weekly, and monthly price of company’s stock toward the same time interval for LQ45 index price in three years period. The computation of stock’s and LQ45 index’s returns per time interval are used to find the beta estimation based on different return interval in which the Sharpe’s model is applied. The data analyses of this research are computed descriptive statistics, beta classification based on its interpretation, also Pearson correlation coefficient, and Kruskal-Wallis tests to examine the result by using Microsoft Excel 2013 and Minitab 17. The results show that there are 22.2% of samples that inconsistent in side of beta classification, indicated by the different level of strength relationship between beta estimation based on different return interval used, instead the differences are not statistically significant (P=0.908) by 5% level of significant, which leads to the conclusion that there is less bias of intervaling effect in this research.

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