Systematic Risk and Non-Systematic Risk Impact on Stock Returns in Health Sector Companies
DOI:
https://doi.org/10.20527/jbts.11i2.39Keywords:
Systematic Risk, Non-Systematic Risk, Stock ReturnsAbstract
Abstract: When an investor decides to invest in the capital market, investor would be understood that the investment will bring profits and contain risks. In the Capital Market, risk can be classified into Systematic Risk (Market Risk), which is the risk that is experienced by all issuers and cannot be diversified, and Non-Systematic Risk, which is the risk that exists in one particular company or industry so that it can still be minimized or diversified. This research aims to prove the effect of systematic and non-systematic risk on stock returns during the Covid 19 pandemic and after, where the moments that cause systematic risk and also non-systematic risk occur together. The Health Sector is a sector that experiences a direct impact because it acts as a basis for defense against the Covid 19 Epidemic. Systematic Risk uses the Stock Beta, Interest Rate, Foreign Exchange, and Inflation, while non-systematic Risk uses the Solvency Ratio (DER) and Profitability Ratio (ROE). Using a purposive sampling technique, 15 health sector companies were selected during 2018 - 2023. Statistical analysis carried out using Smart PLS 4.0 resulted that Systematic Risk and Non-Systematic Risk did not affect Share Returns of Health Sector Companies in the 2018 - 2023 period
Keywords: Systematic Risk, Non-Systematic Risk, Stock Returns
Downloads
References
Azhari, F., Suharti, T. and Nurhayati, I. (2020) ‘Pengaruh Beta Terhadap Return Saham Pada Perusahaan Sektor Perdagangan, Jasa Dan Investasi’, Manager : Jurnal Ilmu manajemen, 3(4), p. 509. Available at: https://doi.org/10.32832/manager.v3i4.3925.
Boediono (2011) Ekonomi Makro, Seri Sinopsis Pengantar ilmu Ekonomi. Yogyakarta: BPFE.
Christian, H., Saerang, I. and Tulung, J.E. (2021) ‘Pengaruh Current Ratio, Debt To Equity Dan Return on Equity Terhadap Return Saham Pada Perusahaan Telekomunikasi Yang Terdaftar Di Bei (Periode 2014-2019)’, Jurnal EMBA: Jurnal Riset Ekonomi, Manajemen, Bisnis dan Akuntansi, 9(1), pp. 637–646. Available at: https://ejournal.unsrat.ac.id/index.php/emba/article/view/32433.
Devi, N.N.S.J.P. and Artini, L.G.S. (2019) ‘Pengaruh Roe, Der, Per, Dan Nilai Tukar Terhadap Return Saham’, E-Jurnal Manajemen Universitas Udayana, 8(7), p. 4183. Available at: https://doi.org/10.24843/ejmunud.2019.v08.i07.p07.
Dewi, N.L.Y.A.P., Endiana, I.D.M. and Arizona, I.P.E. (2020) ‘Pengaruh Rasio Keuangan dan Kebijakan Dividen Terhadap Return Saham’, Jurnal Kharisma, 2(3), pp. 227–239.
Dewi, N.L.Y.A.P., Endiana, I.D.M. and Arizona, I.P.E. (2020) ‘Pengaruh Rasio Keuangan dan Kebijakan Dividen Terhadap Return Saham’, Jurnal Kharisma, 2(3), pp. 227–239.
Fahmi, I. (2015) Manajemen Investasi. 2nd edn. Jakarta: Salemba Empat.
Ghafar, F.M., Bebasari, N. and Satpatmantyo, I.K. (2023) ‘Analisis Pengaruh Return On Asset ( ROA ), Beta Saham , Cash Conversion Cycle ( CCC ) Terhadap Return Saham perusahaan telekomunikasi yang terdaftar di BEI tahun 2018-2022’, 8(2), pp. 476–486.
Ghozali, I. (2016) Aplikasi Analisis Multivariete Dengan Program IBM SPSS 23 (Edisi 8). Cetakan ke. Semarang: Badan Penerbit Universitas Diponegoro.
Gujarati, D. (2003) Dasar-dasar Ekonometrika (Terjemahan). Edisi 5. Jakarta: Salemba Empat.
Hanafi, M.M. (2011) Manajemen. Edisi keti. Yogyakarta: Unit Penerbit dan Percetakan STI manajemen YKPN.
Hasan, M., Gasperz, J. and Limba, F.B. (2023) ‘Return Saham Pada Perusahaan Farmasi Di Bei Selama Masa Pandemi Covid-19’, 3(1), pp. 12–21.
Husnan, S. (2005) Dasar-Dasar Teori Portofolio dan Analisis Sekuritas. Edisi Keem. Yogyakarta: UPP AMP YKPN.
Jogiyanto (2014) Teori Portofolio dan Analisis Investasi. Edisi ke 1. Yogyakarta: BPFE.
Kasmir (2015) Analisis Laporan Keuangan. Edisi Satu. Jakarta: PT Raja Grafindo Persada.
Maharani, A. and Haq, A. (2020) ‘Pengaruh Inflasi, Suku Bunga Dan Nilai Tukar Terhadap Return Saham’, Jurnal Ekonomi Trisakti, 2(2), pp. 941–950. Available at: https://doi.org/10.25105/jet.v2i2.14546.
Mangantar, A.A.., Mangantar, M. and Baramuli, D.N. (2020) ‘Pengaruh Return on Asset, Return on Equity Terhadap Return Saham Pada Subsektor Food and Beverage Di Bursa Efek Indonesia’, Jurnal EMBA: Jurnal Riset Ekonomi, Manajemen, Bisnis dan Akuntansi, 8(1), pp. 272–281.
Mufid, M.N. (2020) ‘Pengaruh Der Dan Risiko Sistematis Terhadap Return Saham Perusahaan Farmasi Yang Terdaftar Di Bei’, JIAFE (Jurnal Ilmiah Akuntansi Fakultas Ekonomi), 6(1), p. Press. Available at: https://doi.org/10.34204/jiafe.v6i1.1820.
Permaysinta, E. and Sawitri, A.P. (2021) ‘Pengaruh Inflasi, Suku Bunga Dan Nilai Tukar Rupiah Terhadap Return Saham’, Jurnal Neraca: Jurnal Pendidikan dan Ilmu Ekonomi Akuntansi, 5(1), p. 41. Available at: https://doi.org/10.31851/neraca.v5i1.5630.
Pratiwi, I. and Winarto, W.W.A. (2021) ‘Pengaruh Beta Saham, Debt to Equity Ratio dan Return On Asset terhadap Return Saham (Studi Kasus pada Saham-Saham LQ45 Periode 2018 – 2019)’, Jurnal IAKP: Jurnal Inovasi Akuntansi Keuangan & Perpajakan, 2(1), p. 25. Available at: https://doi.org/10.35314/iakp.v2i1.1786.
Retha, H.M.A. and Budiarti, R. (2021) ‘Pengaruh Beta Terhadap Return Saham Defensif Dan Agresif Guna Membantu Investor Dalam Keputusan Investasi’, Greenomika, 3(2).
Sadikin, A. (2020) ‘Ali Sadikin’, pengaruh interest rate risk, kurs risk, financial risk terhadap return saham pada perusahaan farmasi di Indonesia, 9(2), pp. 3–10.
Tandelilin, E. (2010) Portofolio dan Investasi: Teori dan Aplikasi. Edisi 1. Yogyakarta: Kanisius.
Wulandari, W., Suhono, S. and Manda, G.S. (2021) ‘Pengaruh Tingkat Suku Bunga Dan Inflasi Terhadap Return Saham Pada Perusahaan Manufaktur Terindeks LQ 45 Periode 2016-2020’, JIMEA Jurnal Ilmiah MEA (Manajemen, Ekonomi, dan Akuntansi, 5(1), pp. 1043–1049. Available at: http://journal.stiemb.ac.id/index.php/mea/article/view/1150
Downloads
Published
Issue
Section
License
Copyright (c) 2024 Reistiawati Utami, Mahesa Vicky Satria Ramadhan Lihu (Author)
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
