SYSTEMATIC RISK ON STOCKS IN IDX30 AT PANDEMIC DISTRESS ERA

Jusuf, A An Arief (2021) SYSTEMATIC RISK ON STOCKS IN IDX30 AT PANDEMIC DISTRESS ERA. In: The 7th Indonesian Finance Association (IFA) International Conference 2021, 6-7 Oktober 2021, Magister Management Building 3rd floor, FEB UGM Yogyakarta.

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Abstract

This research aims to estimate systematic risk using Ordinary Least Square and Quantile Regression on IDX30 members. The equations from Ordinary Least Square and Quantile Regression are compared to be filtered with Hannan-Quinn Criteria. With 23 stocks as the sample in this research, with the observation from March 2020 till the end of July 2021, the results show that some estimated equations for stock return have constant parameters significantly. The results from this research describe the systematic risk of individual stock return and minor information about the sub-sector of industry classification, which ranked by the sample.

Item Type:	Conference or Workshop Item (Paper)
Uncontrolled Keywords:	Ordinary Least Square, Quantile Regression, Hannan-Quinn, Systematic Risk.
Subjects:	H Social Sciences > HG Finance > HG1-9999 Finance H Social Sciences > HJ Public Finance > HJ9-9940 Public finance > HJ9701-9940 Public accounting. Auditing
Divisions:	HROD
Depositing User:	Perpustakaan UWIKA
Date Deposited:	02 Aug 2023 06:07
Last Modified:	01 Apr 2024 04:48
URI:	http://repository.widyakartika.ac.id/id/eprint/3247

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