This research studies dynamic realized betas in Indonesia Capital Market. We use 5- minute price observation for the Indonesian Stock Exchange (JKSE) and the most active stocks in Indonesia (LQ45 stocks). We disentangle dynamic realized beta for stocks into continuous and jump betas. Our research reveals that jump components in JKSE are significant which mean Indonesia capital market is very sensitive to the short-run unexpected information. However, our estimation results for individual stocks indicate that jump components are not significant. We suggest that diversification method can omit the effect of jump systematic risk with only holding at least 10 stocks in one portfolio. Since the jumps component is still a gray area of research, for which many researchers are still struggling to find an adequate explanation, our study’s novelty reveals that jumps are related to the leverage effect.
|Title of host publication||Contemporary Issues on Business, Development and Islamic Economics in Indonesia|
|Publisher||Nova Science Publishers, Inc.|
|Number of pages||18|
|Publication status||Published - 1 Jan 2019|
- Continuous and jump beta
- High-frequency data
- Systematic risk