Proceedings of the International Conference of Economics, Business, and Entrepreneur (ICEBE 2022)

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Yes, Beta was Invalid During Covid-19: Evidence from Islamic Stock Index Indonesia

Authors
Ahmad Faisol1, *, Nindytia Puspitasari Dalimunthe1, R. A. Fiska Huzaimah1
1Management, Lampung University, Bandar Lampung, Lampung, Indonesia
*Corresponding author. Email: ahmad.faisol@feb.unila.ac.id
Corresponding Author
Ahmad Faisol
Available Online 30 May 2023.
DOI
10.2991/978-2-38476-064-0_23How to use a DOI?
Keywords
beta; CAPM; two-step regression
Abstract

The COVID-19 pandemic has raised the assumption that the market has systematic risk or negative beta so that the formation of an asset portfolio will not be effective in dealing with the risk of loss. However, the rapid recovery of some stock markets in several countries as the outbreak escalates has put this assumption into question. Therefore, this study aims to test the validity of beta in explaining stock returns during the outbreak period, which is empirically tested on Islamic stocks in Indonesia. The research was conducted since the first period of the discovery of Covid19 patients in Indonesia, namely on March 3, 2020 to March 3, 2022 by using a two-step regression method which showed invalid beta results during the covid-19 period, so that the formation of returns in the market was influenced by other factors not described in the model.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the International Conference of Economics, Business, and Entrepreneur (ICEBE 2022)
Series
Advances in Economics, Business and Management Research
Publication Date
30 May 2023
ISBN
10.2991/978-2-38476-064-0_23
ISSN
2352-5428
DOI
10.2991/978-2-38476-064-0_23How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Ahmad Faisol
AU  - Nindytia Puspitasari Dalimunthe
AU  - R. A. Fiska Huzaimah
PY  - 2023
DA  - 2023/05/30
TI  - Yes, Beta was Invalid During Covid-19: Evidence from Islamic Stock Index Indonesia
BT  - Proceedings of the International Conference of Economics, Business, and Entrepreneur (ICEBE 2022)
PB  - Atlantis Press
SP  - 209
EP  - 220
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-2-38476-064-0_23
DO  - 10.2991/978-2-38476-064-0_23
ID  - Faisol2023
ER  -