The Systematic Risk of Stocks: Analysis of Property and Agriculture Sector in Indonesia

Abstract

Systematic risk is a risk that cannot be avoided and eliminated by diversification, the fluctuation of this risk is influenced by macroeconomic factors. This study aims to analyze the effect of Degree of Economic Leverage (DEL), Degree of Operating Leverage (DOL), and Degree of Financial Leverage (DFL) on the property and agriculture sector in Indonesia. In this study, researcher used secondary data; those are weekly common stock return and weekly market return published by Indonesia Stock Exchange, for determining beta coefficients. Subsequently, sales, EBIT, EAT, and annual inflation are utilized to calculate DEL, DOL, and DFL. Samples were taken by using purposive sampling and sample selection criteria. This research used panel data regression analysis using E-views 9. The result of this research showed that (1) partially, only the variable DEL and DFL that influence significantly to systematic risks of stock on a property sector and (2) partially, only the variable DEL and DOL that influence significantly to systematic risks of stock on sector of agriculture. Therefore, investors should invest in property sector companies that have a low value of DEL, DOL, and DFL to minimize systematic risk of stocks. And in the agriculture sector companies investors should invest in companies that have a high value of DEL, DOL, and DFL to minimize the systematic risk of stocks.