Proceedings of the International Conference on Engineering, Technology and Social Science (ICONETOS 2020)

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

Authors
Alfiani Rofiqoh, Zaim Mukaffi
Corresponding Author
Zaim Mukaffi
Available Online 22 April 2021.
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/).

Download article (PDF)

Volume Title
Proceedings of the International Conference on Engineering, Technology and Social Science (ICONETOS 2020)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
22 April 2021
ISBN
978-94-6239-368-4
ISSN
2352-5398
DOI
10.2991/assehr.k.210421.005How to use a DOI?
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/).

Cite this article

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  -