The Impact Of Systematic Risk And The Capital Adequacy Ratio (Car) On Stock Returns At Large Conventional Banks Listed On The Indonesia Stock Ex-change, 2018–2024

Abstract

This study aims to analyze the effect of systematic risk (beta) on stock returns for large conventional banks listed on the Indonesia Stock Exchange (IDX) and to test the moderating role of the Capital Adequacy Ratio (CAR) during the 2018–2024 period. This study employs an explanatory quantitative approach using panel data comprising six major national banks and a seven-year observation period, resulting in 42 observations. Systematic risk is measured using the beta coefficient, which is calculated and adjusted on an annual basis to ensure consistency with the stock return and CAR variables. The data analysis techniques used are panel data regression and Moderated Regression Analysis (MRA) with model selection via the Chow, Hausman, and Lagrange Multiplier tests. The results indicate that systematic risk (beta), as determined by the panel data regression model (Common Effect Model), has a negative and significant effect on banking stock returns. This finding suggests that during the study period, particularly under conditions of economic uncertainty such as the COVID-19 pandemic, banking sector investors tended to adopt a risk-averse stance, leading to a negative response toward stocks with high beta levels. Meanwhile, the Capital Adequacy Ratio (CAR) does not have a significant effect on stock returns and is not proven to moderate the relationship between systematic risk and stock returns. This suggests that CAR is viewed more as an indicator of a bank’s long-term stability rather than as a primary consideration for investors in determining stock returns.