ANALYSIS ON THE EFFECT OF FUNDAMENTAL FACTORS TO SYSTEMATIC RISK (AN EMPIRICAL STUDY ON THE LISTED COMPANIES IN INDONESIA STOCK EXCHANGE (IDX) CATEGORY LQ 45 FOR THE PERIOD OF 2009 – 2012)

Abstract

This study examined and analyzed the factors that affecting the systematic risk of the companies in Indonesia Stock Exchange category LQ 45 Index. This study is interesting to conduct because the characteristic of systematic risk that always attach in every investment especially common share investment. This research used financial reports from ICMD for the period of 2009 – 2012. Samples used in this study consist of 28 companies listed in the LQ 45 Index consistently for the period of 2009 – 2012. Data was analyzed using multiple regression analysis to test the significant effect of independent variables to dependent variable. F – test and t – test were conducted to test the hypotheses with 5% level of significant. The results of this study showed that only four variables have significant effect on systematic risk partially which are DER, OL, Asset Size and ROE while other variables which are PER, Asset Growth, CR and dividend payout ratio do not have significant effect partially. All of the independent variables have significant effect simultaneously to systematic risk. The regression model can predict the systematic risk for 32.6 %. Researcher suggests for the next study, next researchers use other fundamental factors apart from this study, government regulations, inflation rate, political condition, and interest rate. Before investing, the investors should look at the DER, OL, Asset Size and ROE to estimate the systematic risk and making the right investment.