The effect of systematic risk (beta) on stock prices with interest rates and curses as moderation variables

Rofiqoh, Alfiani and Mukaffi, Zaim (2021) The effect of systematic risk (beta) on stock prices with interest rates and curses as moderation variables. Presented at The International Conference on Engineering, Technology and Social Science (ICONETOS 2020), 31 Oct 2020, Malang.

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Abstract

This study aims to determine the effect of systematic risk (beta) on stock prices and find out whether interest rates and exchange rates can be used as moderating variables on the relationship of systematic risk to stock prices. The population in this study is the banking sub-sector companies included in the IDX 2014-2017. The research sample was taken by purposive sampling technique, which amounted to 24 companies. Data analysis method used is descriptive analysis, and data analysis was used that technique Last Squares Dummy Variable (lSDV) and Moderate Regression Analysis (MRA). The results show that systematic risk (beta) ha s a positive and significant effect on stock prices. Interest rates and exchange rates are significantly able to moderate the relationship between systematic risk (beta) and stock prices. the systematic risk represented by beta stocks can directly influence changes in stock prices. Exchange rates cannot strengthen the effect of systematic risk on stock prices but instead weaken the effect of systematic risk on stock prices which means that the exchange rate cannot affect changes in stock prices. Study constribute to the discussion about determine the effect of systematic risk, special beta that’s influenced by stock price, interest and exchange rates.

Item Type:	Conference (Paper)
Keywords:	beta, stock price, interest rate, and exchange rate
Subjects:	15 COMMERCE, MANAGEMENT, TOURISM AND SERVICES > 1502 Banking, Finance and Investment > 150205 Investment and Risk Management
Divisions:	Faculty of Economics > Department of Management
Depositing User:	Zaim Mukaffi
Date Deposited:	08 Jul 2021 11:56

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