425
Variables and Variable Operational Definition The definition of each variable operational which used in this research are
as follows: 1. Systematic risk X1
Before committing the decision to sell, buy, or hold the shares, investors will consider the various risk factors and the expected return. Systematic
risk is the risk that can not be eliminated by diversification. Measurement of risk in the CAPM by using beta β as a measure of risk. According to
Horne and Machowicz 2005 beta β is a measurement tools sensitivity of stock returns among changes in the market portfolio returns.
According to Agus 2001 formula that can be used to calculate beta stocks are as follows:
Β = Notes:
Β = Stock beta Rm = market stock of return
Ri = company stock of return N = total sample
Stocks with a beta of more than 1 is an aggressive stock which is stock
very sensitive to changes in the market. Whereas beta of less than 1 is defensive stock which is stock not sensitive to changes in the market and a
beta equal to one indicates that the condition is the same as the market index. This research will take systematic risk in 2015.
2. Interest rate X2 Bank Indonesia Certificates are securities as short-term debt which issued
by Bank Indonesia by using discount system. SBI is one of the mechanisms which used by Bank Indonesia to control the stability of the rupiah. By
selling the SBI, Bank Indonesia can absorb excess circular primer money. Since early July 2005, Bank Indonesia used BI Rate mechanism BI rate
which is the central bank announced interest rate target which desired by Bank Indonesia for the auction during a certain period. This research used
interest rate in 2015, due to the government decision in changing the interest rate was in 2015. Below is the BI Rate Listing in 2015.
426
BI Rate Listing
BI Rate is used as a reference for market participants in the auctions. BI Rate is used as a reference for the operation of monetary control in order
one month the weighted average interest rates SBI that resulted from auction open market operations should be around the BI Rate.
Furthermore, one-month SBI interest rate is expected to affect the bank interest rate. The measurement is based on monthly SBI interest rate in
percentage .
∆ =
−
427 Keterangan:
= SBI periode t = SBI periode t-1
= kuartal 1, 2, 3, dst. 3. Tax Rate X3
Tax rate in this variable is using changes in the imposition of Income Tax Article 22 where there will be a comparison of tax rates before and after
the changes in tax rate. The measurement is tax payable based on a comparison of year-before and year-after the change in tax rate. Tax rate
used in this sample also taken in 2015, because the goverment decision to change the tax rate happened in 2015.
4. Stock Return Y According to Mohamad 2006 return is income which expressed as a
percentage of the initial capital investment. Stock returns are gain obtained from a fund or capital invested in an investment in the form of
real assets and investment assets. According Jogiyanto 2010 return can be grouped into:
1. Realized return is the return that has occurred. Realized return is
important because it is used as a performance measurement of the company. Return is calculated by using historical data.
2. Expectation return is a return which used in making investment
decisions. Expectation return is important to be compared with the historical return.
In this research the stock return is calculated by using abnormal return which is a considerable difference between the realized return and
expected return Soewardjono, 2005. In determining the abnormal return, we use the difference between real
return and the market return, with the formula:
RTN =
- R Note:
RTN : abnormal return stock
: real return for stock i of period t R
: market return of period t
428 To obtain the abnormal return, we must first find daily stock returns and
market return daily. a. Real return can be calculated with the formula:
= keterangan :
HSI : Price stock individual company i of period t
HSI : Price stock individual company i of period t-1
b. Market return can be calculated with the formula: R
= keterangan :
IHSG : IHSG of period t
IHSG : IHSG of period t-1.
This study using event study method which period used in this study is 11 days in a vulnerable period when the change in tax rate and the interest
rate happened that was in 2015, the results of the event study method can be in transformed into the numbers -5, -4, -3, -2, -1, 0, 1.2, 3, 4, 5. Time
events are based on the previous studies, where the market reaction to a given signal is very fast and in addition to avoid any potentially
confounding effect or mixing of information from some event with other events Jogiyanto, 2010: 583.
HYPHOTESIS 1.
Effect systematic risk on stock returns
Investors are going to consider risk factors before making an investment decision since investors always desire to gain the highest return with the
lowest possible risk, it also applies in the capital market. If the risk in investing in the capital market is high, investors would expect obtaining
higher stock returns. Risk is generally defined as the loss possibilities from a fund or invested capital on an investment due to uncertainty. Systematic
risk or market risk is the risk associated with changes in the market as a whole. According Jogiyanto 2010 beta portfolio with the portfolio return
volatility measures the market return. Thus, beta is a measure of systematic risk systematic risk of a security or a portfolio relative to
market risk.
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
