Model Manajemen Risiko Saham dengan Pendekatan Risiko Sistematis dan Risiko Tidak Sistematis

Abstract

Aim of this research was to find out effect of systematic and unsystematic risks on expected return of manufacture company share at the Indonesia Stock Exchange. The submitted hypothesis was that systematic and unsystematic risks had an effect on expected return of manufacture company share at the Indonesia Stock Exchange. Analysis tool used was multiple linear regression by F test and t test. It was used 9 samples of companies registered in the Indonesia Stock Exchange and including in LQ Indices 45 in 2014. From the calculation result of multiple linear regression analysis, it was obtained the following equation : Y =-0,054 + 0,005 X1 + 0,772 X2.It was obtained from F test result that F calculation = 7, 449. Using significance level of 95 percen. Thus F calculation (1,803) < F, means that there was not a significant effect of systematic risk and unsystematic risk collectively on expected return. Using significance level of 95 percent was obtained t table was 2, 1009. It was obtained from t test result that t calculation of systematic risk (tX1) = 0,295 and t calculation of unsystematic risk (tX2) = 3,193 Thus t calculation of systematic risk was little that t table, whereans t calculation of unsystematic risk was little than t table so that partially systematic risk (X1) and unsystematic risk (X2) had not significant effect on expected return (Y). risiko sistematis (tX1) = 0,295 dan t hitung risiko tidak sistematis (tX2) = 3,193. Dengan demikian t hitung risiko sistematis lebih kecil dari pada t tabel, sehinggasebagian risiko sistematis (X1) dan risiko tidak sistematis (X2) tidak berpengaruh signifikan terhadap return yang diharapkan (Y).