DOES BANK INDONESIA CERTIFICATE (SBI) AND EXCHANGE RATE AFFECT SYSTEMATIC RISK (BETA) ? (PROOF OF VALUE OF FIRM’S THEORY ON INDONESIA BANKING ISSUER)

Azhar - Maksum, Dompak - PASARIBU, Ade Fatma LUBIS, Rina - BUKIT

Abstract


The purpose of this study is to analyze the role of macroeconomic variables of Bank Indonesia Certificate (SBI) and Exchange Rate on systematic risk (BETA) in the banking sector. This type of research is quantitative research and based on the level of explanation. Data analysis method used is Structural Equation Model (SEM). The data used are annual secondary data of 24 issuers in 2007-2015 in 207 times of observations in cross-sectional banking firms listed on the Indonesia Stock Exchange (SBI). The results show interest rates (SBI) and exchange rates (KURS) have a negative and significant effect on systematic risk.

Keywords


Bank Indonesia Certificate, Exchange Rate, Systematic Risk

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