THE EFFECT OF SYSTEMATIC RISK AND UNSYSTEMATIC RISK ON EXPECTED RETURN OF OPTIMAL PORTFOLIO

  • Denisa Rizky Sukrianingrum Universitas Singaperbangsa Karawang
  • Gusganda Suria Manda Universitas Singaperbangsa Karawang

Abstract

The purpose of this research is to search out empirical proof that the expected return of shares portfolio is influenced by the presence of systematic and unsystematic risk. The population in this study was a combination of shares portfolio of non-financial companies listed in the LQ45 stock index during the period 2015 - 2019. The technique for sampling in this research using the technique of purposive sampling with a sample of 7 companies combined into 120 samples. The results of the study were obtained from data that had been analyzed using a test of descriptive statistics, a test of classical assumption, determinant coefficients test, and analysis of multiple linear regression through the help of the SPSS application. The results of the research on the F-test showed that the simultaneous systematic risk (X1) and unsystematic risk (X2) have a significant and positive impact on the expected return of portfolio (Y). The results of the t-test showed that partially the systematic risk variable (X1) has a negative and significant impact on the optimal portfolio expected return (Y), and partially the unsystematic risk variable (X2) has a significant and positive impact on the expected return of optimal portfolio (Y). The variable probability of systematic and unsystematic risk has an impact of 53.5% on the expected return on the basis of the effects of the coefficient of determination in this analysis, while the remaining 46.5% is determined by other factors that are not tested.

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Published
2020-12-17
How to Cite
SUKRIANINGRUM, Denisa Rizky; MANDA, Gusganda Suria. THE EFFECT OF SYSTEMATIC RISK AND UNSYSTEMATIC RISK ON EXPECTED RETURN OF OPTIMAL PORTFOLIO. SAR (Soedirman Accounting Review) : Journal of Accounting and Business, [S.l.], v. 5, n. 2, p. 181-195, dec. 2020. ISSN 2598-0718. Available at: <https://jos.unsoed.ac.id/index.php/sar/article/view/3772>. Date accessed: 14 mar. 2025. doi: https://doi.org/10.20884/1.sar.2020.5.2.3772.
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Articles

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