PERAN BEBERAPA INDIKATOR EKONOMI DALAM MEMPENGARUHI RISIKO SISTEMATIS PERUSAHAAN MANUFAKTUR DI BURSA EFEK INDONESIA JAKARTA

Abstract

The purpose of this research is to analysis influence of macroeconomic factor are a inflation, interest rate, exchange rate, and economic growth toward systematic risk for 2004 to 2006. This research use secondary data, with the source of data from BPS and Indonesian Capital Market Directory publication. Technical sampling used purposive sampling, and  total sample is 116 firm with the 348  observation sample. The analysis use regression ordinary least square – OLS.

The result of the test that inflation and exchange rate are significant negative influence the systematic risk, but interest rate and economic growth are significant positive toward to systematic risk. In this research is only interest rate support economic theory, whereas inflation, exchange rate, and economic growth is not support economic theory. The R-square is 0,855 so the four independent variable is have a strong ability to predict systematic risk.

Key words: Macroeconomic factor and systematic risk.