The Effect of Systematic Risk (Beta) on Stock Prices with Interest Rates and Curses as Moderation Variables

DOI

10.2991/assehr.k.210421.005How to use a DOI?

Keywords

beta, stock price, interest rate, exchange rate

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.

Copyright

© 2021, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Alfiani Rofiqoh
AU  - Zaim Mukaffi
PY  - 2021
DA  - 2021/04/22
TI  - The Effect of Systematic Risk (Beta) on Stock Prices with Interest Rates and Curses as Moderation Variables
BT  - Proceedings of the International Conference on Engineering, Technology and Social Science (ICONETOS 2020)
PB  - Atlantis Press
SP  - 26
EP  - 33
SN  - 2352-5398
UR  - https://doi.org/10.2991/assehr.k.210421.005
DO  - 10.2991/assehr.k.210421.005
ID  - Rofiqoh2021
ER  -