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  • Estimating Beta Using Historical Data

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    Roi Manullang
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    This document contains historical stock market data from Indonesia including the AALI index, ASII index, and IHSG index from 2007 to 2008. It also includes the monthly returns and standard deviations for each index. The beta is estimated for each index using the correlation between the index returns and the returns of the IHSG index.

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    financial management Beta

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    2.Finman Beta

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    This document contains historical stock market data from Indonesia including the AALI index, ASII index, and IHSG index from 2007 to 2008. It also includes the monthly returns and standard deviations for each index. The beta is estimated for each index using the correlation between the index returns and the returns of the IHSG index.

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    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
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    6 views1 page

    Estimating Beta Using Historical Data

    Uploaded by

    Roi Manullang
    This document contains historical stock market data from Indonesia including the AALI index, ASII index, and IHSG index from 2007 to 2008. It also includes the monthly returns and standard deviations for each index. The beta is estimated for each index using the correlation between the index returns and the returns of the IHSG index.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
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    of 1

    Estimating beta using historical data

    Date AALI ASII IHSG r.AALI r.ASII r.IHSG SBI R.AALI R.ASII R.IHSG
    1/2/2007 13,200 14,850 1757.26 -0.0492 -0.0539 -0.0093 0.0075 -0.0567 -0.0614 -0.0168
    2/1/2007 12,550 14,050 1740.97 0.0040 -0.0605 0.0517 0.0075 -0.0035 -0.0680 0.0442
    3/1/2007 12,600 13,200 1830.92 0.2500 0.0909 0.0919 0.0075 0.2425 0.0834 0.0844
    4/2/2007 15,750 14,400 1999.17 -0.0413 0.1389 0.0426 0.0075 -0.0488 0.1314 0.0351
    5/1/2007 15,100 16,400 2084.32 -0.0894 0.0305 0.0264 0.0075 -0.0969 0.0230 0.0189
    6/4/2007 13,750 16,900 2139.28 0.1164 0.1095 0.0979 0.0075 0.1089 0.1020 0.0904
    7/2/2007 15,350 18,750 2348.67 -0.0684 -0.0480 -0.0657 0.0075 -0.0759 -0.0555 -0.0732
    8/1/2007 14,300 17,850 2194.34 0.1748 0.0784 0.0751 0.0075 0.1673 0.0709 0.0676
    9/3/2007 16,800 19,250 2359.21 0.3393 0.3299 0.1205 0.0075 0.3318 0.3224 0.1130
    10/1/2007 22,500 25,600 2643.49 0.1311 -0.0234 0.0170 0.0075 0.1236 -0.0309 0.0095
    11/1/2007 25,450 25,000 2688.33 0.1002 0.0920 0.0214 0.0075 0.0927 0.0845 0.0139
    12/3/2007 28,000 27,300 2745.83 0.0786 -0.0018 -0.0432 0.0075 0.0711 -0.0093 -0.0507
    1/2/2008 30,200 27,250 2627.25

    SD 0.1339 0.1106 0.0566


    Beta 1.6115 1.4008 1.0000
    Corr 0.6810 0.7170

    CAPM
    R.AALI = r.AALI - SBI
    R.ASII = r.ASII - SBI
    R.IHSG = r.IHSG - SBI

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