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p-Index From 2021 - 2026
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All Journal Journal of Administrative and Sosial Science (JASS)
Banafsyah Imanda Safa
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Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Environmental Science Social Sciences Other

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Hubungan Antara Risiko Sistematis, Tingkat Suku Bunga, dan Return Saham dalam Portofolio Investasi: Analisis pada Bank BUMN yang Terdaftar di BEI Banafsyah Imanda Safa; Diana Oktavia Kholimah Wati; Vidinia Nuansa Citra; Felisya Natalia Purwanto; Maria Yovita R. Pandin
JOURNAL OF ADMINISTRATIVE AND SOCIAL SCIENCE Vol. 6 No. 2 (2025): Juli: Journal of Administrative and Sosial Science (JASS)
Publisher : Sekolah Tinggi Ilmu Administrasi (STIA) Yappi Makassar

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.55606/jass.v6i2.2091

Abstract

This study aims to examine the impact of systematic risk and interest rates on the stock returns of state-owned banks (Bank BUMN) listed on the Indonesia Stock Exchange during the period 2021–2023. Using a multiple linear regression approach, the study finds that neither systematic risk nor interest rates have a significant partial or joint effect on the stock returns of Bank BUMN. These findings indicate that in the context of the Indonesian stock market—particularly the state-owned banking sector—these factors may not necessarily be the primary determinants in shaping stock returns. The implication of these results is the importance of considering other variables that may play a greater role in explaining stock return movements, such as firm-specific microeconomic factors and investor expectations regarding the banks’ fundamental performance.
Co-Authors Diana Oktavia Kholimah Wati Felisya Natalia Purwanto Maria Yovita R. Pandin Vidinia Nuansa Citra