Bull Beta Vs Bear Beta in The Indonesia Stock Exchange

This study investigates the systematic risks in two different market periods (the bearish and the bullish) in the Indonesia Stock Exchange (IDX), and examines whether there is a systematic risk difference in the two market periods. The data used in this research is the daily closing stock price data of selected stocks and the daily closing of the Jakarta Composite Index (JCI) during the period January 2, 2014, through March 31, 2016, with data obtained from Bloomberg. The sampling method used was a purposive sampling method with the criteria: never done a stock split, never suspended, and traded actively during the observation period, in order to avoid bias. A total of 26 stocks were found which fulfilled these criteria. The results showed that there is no difference between the bull and bear beta. Also there is no difference between the overall period and either the bull or the bear beta. The findings imply that investors and portfolio managers could use an all period beta as their systematic risk proxy