PENGARUH RISIKO SISTEMATIS DAN LIKUIDITAS TERHADAP RETURN SAHAM PADA PERUSAHAAN MANUFAKTUR YANG TERDAFTAR DI BEI

Abstract

The purpose of this research was to examine the effect of systematic risk and liquidity toward stock returns in companies listed on the Indonesia Stock Exchange in the period of 2012-2014 by using single index model. The population of this research was manufacturing company listed on the Indonesia Stock Exchange. The data used in this research were secondary data obtained from www.idx.co.id. The sample of the research was manufacturing companies listed on the Indonesia Stock Exchange. The sample was determined by purposive sampling method, thus obtained 33 companies. Systematic risk was measured by beta, while liquidity was measured by current ratio. The data were analyzed using classic assumption test, multiple regression, simultaneous regression and partial regression. Based on the result of multiple regression analysis with significance level of 5%, the result of this research showed that: the systematic risk (beta) showed negative significant effect on stock returns on companies listed on the Indonesia Stock Exchange, while liquidity had no effect on stock returns on companies listed on the Indonesia Stock Exchange. Keywords: systematic risk, beta, stocks, liquidity and stock returns.