Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
Stock Market Proxy Testing in Beta Calculation in the COVID-19 Pandemic Period on the Indonesia Stock Exchange
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Title
Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
Stock Market Proxy Testing in Beta Calculation in the COVID-19 Pandemic Period on the Indonesia Stock Exchange
Stock Market Proxy Testing in Beta Calculation in the COVID-19 Pandemic Period on the Indonesia Stock Exchange
Subject
Beta; Covid-19; Index; JCI; Return
Description
This study was conducted to assess the stock price index on the Indonesia Stock Exchange (IDX) which can be used as a proxy for the stock market in Indonesia. The indexes used to search for stock market proxies in Indonesia are JCI, IDX30, LQ45, IDX BUMN20, Jakarta Islamic Index (JII), KOMPAS100, MNC36, SRI-KEHATI, and PEFINDO25. The period in this study is from June 2018 to October 2021 obtained through bloomberg.com. Based on the results of the Paired Sample t-Test, the JCI returns before and during the Covid-19 pandemic did not show a difference in stock beta. Then, the results of the Standard Error
Estimate (SEE) test show that JCI returns have the smallest deviation rate in the period when Covid-19 occurred and in the entire period. The results showed that the JCI return can be used as a proxy for the stock market in Indonesia compared to the returns of other stock indexes.
Estimate (SEE) test show that JCI returns have the smallest deviation rate in the period when Covid-19 occurred and in the entire period. The results showed that the JCI return can be used as a proxy for the stock market in Indonesia compared to the returns of other stock indexes.
Creator
Yuvica Lara Rovantiane Adicondro, Robiyanto Robiyanto, Samuel Martono
Source
DOI: 10.26905/jkdp.v27i1.8281
Publisher
Universitas Merdeka Malang
Date
January 2023
Contributor
Sri Wahyuni
Rights
ISSN: 2443-2687 (Online) ISSN: 1410-8089 (Print)
Format
PDF
Language
English
Type
Text
Coverage
Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
Files
Collection
Citation
Yuvica Lara Rovantiane Adicondro, Robiyanto Robiyanto, Samuel Martono, “Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
Stock Market Proxy Testing in Beta Calculation in the COVID-19 Pandemic Period on the Indonesia Stock Exchange,” Repository Horizon University Indonesia, accessed November 21, 2024, https://repository.horizon.ac.id/items/show/4892.
Stock Market Proxy Testing in Beta Calculation in the COVID-19 Pandemic Period on the Indonesia Stock Exchange,” Repository Horizon University Indonesia, accessed November 21, 2024, https://repository.horizon.ac.id/items/show/4892.