Comparative Analysis of Stock Systematic Risk Based on Business Sector

David Kaluge (), Tyas Danarti and Puspitasari Wahyu
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David Kaluge: Brawijaya University, Economics Department, Faculty of Economics and Business
Tyas Danarti: Brawijaya University, Economics Department, Faculty of Economics and Business
Puspitasari Wahyu: Brawijaya University, Economics Department, Faculty of Economics and Business

A chapter in Proceedings of the Brawijaya International Conference on Business Administration, Taxation, and Tourism (BICBATT 2022), 2024, pp 106-115 from Springer

Abstract: Abstract In the realm of financial investment, stock investments are categorized as high-risk investments, especially in conditions of economic shocks due to the pandemic. The condition of increasing risk seems contradictory when compared with the fact that the number of individual investors in the capital market has increased. Investment in the stock market is a representation of the concept of investment returns and investment risk moving in the same direction. But often investors only focus on high potential returns and tend to ignore the possibility of high losses. Therefore, the purpose of this study is to fulfill the need for information about the condition of the stock's systematic risk based on the characteristics of the issuer at this time. The research method used is a regression model on 10 business sectors. Using secondary data on stock return variables and market return variables. The empirical results state that the systematic risk of stocks increases during the pandemic period accompanied by changes in sector position for stocks with the lowest and highest risk and changes in distribution patterns for sectors that have high risk in the 2 research periods.

Keywords: Stock Systematic Risk; Systematic Risk Based on Business Sectors; Investment (search for similar items in EconPapers)
Date: 2024
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DOI: 10.2991/978-94-6463-240-8_13

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