THE EFFECT OF BANK INDONESIA CERTIFICATE INTEREST RATES AND EXCHANGE RATES ON THE SYSTEMATIC RISK OF STOCKS IN FINANCIAL SECTOR COMPANIES LISTED ON THE LQ45 INDEX OF THE INDONESIA STOCK EXCHANGE DURING THE 2019-2023 PERIOD

Abstract

The purpose of this paper is to examine and provide empirical evidence on how the interest rate of Bank Indonesia Certificates (SBI) and the exchange rate affect the systematic risk of stocks in financial sector companies listed on the LQ45 Index of the Indonesia Stock Exchange (IDX) from 2019 to 2023. Systematic risk is measured using the beta coefficient. The sample consists of financial sector companies included in the LQ45 Index during the specified period, selected through purposive sampling. EViews 12 for Windows was used to perform panel data regression analysis. The results of the study indicate that, although the exchange rate has no significant effect, the SBI interest rate has a significant influence on systematic risk. Both independent variables have a significant impact on systematic risk when analyzed simultaneously. The adjusted R-squared value of 18.13% indicates that the model is able to explain 18.13% of the variation in systematic risk. The remaining variation is explained by other variables outside the model.