Faisol, Ahmad and dalimunthe, nindytia puspitasari Yes, Beta was Invalid During Covid-19: Evidence from Islamic Stock Index Indonesia. In: icebe 2022.

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Abstract

he 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

Item Type:	Conference or Workshop Item (Paper)
Subjects:	H Social Sciences > HG Finance
Divisions:	Fakultas Ekonomi dan Bisnis (FEB) > Prodi Manajemen
Depositing User:	Unnamed user with username 0024059003
Date Deposited:	19 Jun 2024 08:45
Last Modified:	19 Jun 2024 08:45
URI:	http://repository.lppm.unila.ac.id/id/eprint/53684

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