The Beta Stability In Shares Of Companies On The Indonesian Stock Exchage
Abstract
This study examines the financial theory suggesting that portfolio beta is more stable than individual stock beta. For the purpose of this study, nine actively-traded stocks from Indonesian Stock Exchange and two stock indices representing portfolio are included in the sample. The stocks included are BBCA (private bank), BMRI (government bank), SMGR (cement, government), INTP (cement, private), TKLM (telecommunication), ASII (automotive), ADRO (mining), ICBP (Food), and GGRM (tobacco). Two stock indices representing stock portfolio are LQ45 and JII. This study uses IHSG as the proxy of market portfolio. For testing the stability of beta, the entire six-year daily returns from 2018-2023 are divided into three sub-periods. These sub-periods are before the outbreak of covid-19 from 2018 to 2019, during the outbreak of covid-19 from 2020 to 2021, and after the outbreak from 2022 to 2023. By applying the extended market this study finds that these three models produce the same results. All models reveal positive relationships between individual stock and market returns and between portfolio returns and market returns. The evidence does not support the claim that all betas are stable. The betas of TLKM, SMGR, ASII, INTP, ICBP and GGRM stocks are not stable while betas of BMRI and ADRO are stable. LQ45 representing stock portfolio experiences a stable beta while JII representing other stock portfolio does not.
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Publication Date
01 September 2026
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European Publisher
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1st Edition
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1-1
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Accounting and Finance, Business and Management, Communication, Law and Governance
Cite this article as:
Gazalia*, M., P., T. K., Amran, E., Rustamd, R., & Erzae, O. (2026). The Beta Stability In Shares Of Companies On The Indonesian Stock Exchage. In Y. Naoyuki, A. Peng Hwa, & J. Matthes (Eds.), GLY-Upcoming Volume: Innovating Together: The Convergence of Management, Communication, and The Digital Transformation, vol -. European Proceedings of Social and Behavioural Sciences (pp. 0-0). European Publisher. https://doi.org/10.15405/epsbs.2026.09.75