Penelitian ini dipublikasikan pada JURNAL KEUANGAN DAN BISNIS, Vol. 5, No.1, Maret 2007
PENGARUH SUKU BUNGA SERTIFIKAT BANK INDONESIA DAN NILAI KURS TERHADAP RISIKO SISTEMATIK SAHAM PERUSAHAAN DI BEJ
M.Y. Dedi Haryanto
This research aimed to give empirical evidence whether Indonesian Bank Notes (Sertifikat Bank Indonesia) and exchange rate as proxies of macro variables have influence to systematics risk of stocks traded in Jakarta Stock Exchange. Using multivariate regression analysis with data of 43 samples company listed in year 2000 to 2002 which is brokedown into manufacturing firms and non manufacturing firms, we concluded that Indonesian Bank Notes and exchange rate have a significant influence to the systematics risk. We also find an interisting result that indutry concentration has attributes to alter the relationship between the two macro variables and systematics risk. In manufacturing firms, only exchange rate which influences the systematics risk, in contrary, only the Indonesian Bank notes has influence to the systematic risk for nonmanufacturing firms.
Keywords: Systematics risk, Exchange rates, SBI, Stocks return
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