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

Authors

  • Azhar - Maksum Universitas Sumatera Utara
  • Dompak - PASARIBU Universitas Sumatera Utara
  • Ade Fatma LUBIS Universitas Sumatera Utara
  • Rina - BUKIT Universitas Sumatera Utara

Keywords:

Bank Indonesia Certificate, Exchange Rate, Systematic Risk

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.

Author Biographies

Azhar - Maksum, Universitas Sumatera Utara

Accounting

Dompak - PASARIBU, Universitas Sumatera Utara

Accounting

Ade Fatma LUBIS, Universitas Sumatera Utara

Accounting

Rina - BUKIT, Universitas Sumatera Utara

Accounting

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Published

30.01.2019

Issue

Vol. 8 No. 1 (2019)

Section

Accounting, Finance, Statistics and Economic informatics

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