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  • Beta Intp 2017

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    nafiesa lauza
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    This document contains historical daily return data for the Indonesian stock market index (IHSG) and Indonesian treasury bill rate (INTP) from January 2017 to January 2018. It calculates the standard deviation, beta, and correlation between the daily returns of INTP and IHSG over this period to estimate the relationship between their movements. The beta of INTP relative to IHSG is estimated at 3.1083, meaning INTP has been more volatile than the overall market as represented by IHSG. Their returns also have a positive correlation of 0.6510.

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    This document contains historical daily return data for the Indonesian stock market index (IHSG) and Indonesian treasury bill rate (INTP) from January 2017 to January 2018. It calculates the standard deviation, beta, and correlation between the daily returns of INTP and IHSG over this period to estimate the relationship between their movements. The beta of INTP relative to IHSG is estimated at 3.1083, meaning INTP has been more volatile than the overall market as represented by IHSG. Their returns also have a positive correlation of 0.6510.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    9 views2 pages

    Beta Intp 2017

    Uploaded by

    nafiesa lauza
    This document contains historical daily return data for the Indonesian stock market index (IHSG) and Indonesian treasury bill rate (INTP) from January 2017 to January 2018. It calculates the standard deviation, beta, and correlation between the daily returns of INTP and IHSG over this period to estimate the relationship between their movements. The beta of INTP relative to IHSG is estimated at 3.1083, meaning INTP has been more volatile than the overall market as represented by IHSG. Their returns also have a positive correlation of 0.6510.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 2

    Estimating beta using historical data

    Date INTP IHSG r.INTP r.IHSG SBI R.INTP R.IHSG


    1/3/2017 15400 5275.92 -0.0065 0.0097 0.004 -0.0105 0.0057
    2/1/2017 15300 5327.16 0.0016 0.0067 0.004 -0.0024 0.0027
    3/1/2017 15325 5363.06 0.0962 0.0454 0.004 0.0922 0.0414
    4/3/2017 16800 5606.79 -0.0387 0.0123 0.004 -0.0427 0.0083
    5/2/2017 16150 5675.81 0.1455 0.0117 0.004 0.1415 0.0077
    6/2/2017 18500 5742.45 0.0095 0.0292 0.004 0.0055 0.0252
    7/3/2017 18675 5910.24 -0.0776 -0.0178 0.004 -0.0816 -0.0218
    8/1/2017 17225 5805.21 0.1495 0.0015 0.004 0.1455 -0.0025
    9/4/2017 19800 5813.74 -0.0278 0.0173 0.004 -0.0318 0.0133
    10/2/2017 19250 5914.03 0.1519 0.0210 0.004 0.1479 0.0170
    11/1/2017 22175 6038.15 -0.1691 -0.0142 0.004 -0.1731 -0.0182
    12/4/2017 18425 5952.14 0.1913 0.0650 0.004 0.1873 0.0610
    1/2/2018 21950 6339.24

    SD 0.1105 0.0231
    Beta 3.1083 1.0000
    Corr 0.6510

    https://finance.yahoo.com/quote/INTP.JK/history?period1=1483203600&period2=1517418000&interval=1d&filter=history&fr
    https://finance.yahoo.com/quote/%5EJKSE/history?period1=1483203600&period2=1517418000&interval=1d&filter=history&
    nterval=1d&filter=history&frequency=1d
    interval=1d&filter=history&frequency=1d

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