429 According to Suad 2005 the relationship between the systematic risk and
return is a positive linear which means the greater the risk of an asset, the greater the expected stock returns on the assets. If systematic risk is not
correlated, then the systematic risk of each company will be correlated and the rate of return of stocks also correlated. In capital asset pricing model
CAPM concept, the relationship between the rate of return and the risk is linear. Thus the stock price will be determined by systematic risk and this
risk is reflected in beta stocks. It means that larger the beta, then the greater the investor will determine the rate of return and vice versa Cenk
Yurtsever and Talib Zahor, 2007. Thus the first hypothesis in this research is there is a positive correlation between the systematic risk of stock
returns.
H : 0 There is no positive significant influence of systematic risk on
stock returns . H
: 0 There is positive significant influence of systematic risk on stock returns .
2. Effect of interest rates on stock returns
The interest rate applied in this research is the interest rate of Bank Indonesia Certificates, it is associated with the Indonesian governments
decision to reduce interest rates SBI, if the interest rate of Bank Indonesia getting lower, then it would improve peoples purchasing power for
property sector and it would also improve performance property company in generating revenue, and vice versa. The decline of the SBI rate will
increase the companys performance and reduce the risk in investing in the capital market. If the risk is going down then stock returns are expected to
decline, so the second hypothesis is there is a negative correlation of interest rates on stock returns.
H
: ≥ 0 There is no negative significant influence of interest rates to stock returns
H : 0 There is negative significant influence of interest rates to stock
returns
3. Effect of change in tax rate on stock returns
The governments decision to increase tariffs on luxury goods tax will affected the property price in Indonesia. The increase in the tax rate will
increase property price and will reduce the purchasing power of Indonesian people of property sector in Indonesia. The decline in consumer
purchasing power of property sector certainly affect the performance of
430 property companies, so the risk to invest in property companies will
increase too. Increasing on investment risk will increase investors expectations on stock returns. Thus the third hypothesis in this research is
there is a significant correlation and positive correlation between changes in tax rates on stock returns.
H : 0 There is no positive significant influence of change in tax rate
on stock returns . H
: 0 There is positive significant influence of systematic risk on stock returns .
4. There is the influence of systematic risk, interest rates, and
