GDP, firm value and systematic risk on Indonesian Kompas100 stock return

Abstract

This research was conducted to determine the effect of Gross Domestic Product, company value, systematic risk on stock return of the kompas100 listed company. The population of this study were companies listed on the Kompas100 index for the 2017-2020 period, with a total sample of 53 companies based on a purposive sampling technique. This study uses panel data regression analysis with the Fixed Effect Model (FEM) regression model. Classical Assumption Test was adopted to test data validation. The results showed that Gross Domestic Product and systematic risk had a negative effect on stock returns, while firm value had no effect on stock returns, with a coefficient of determination of 74 percent. The findings in this study explain that Gross Domestic Product and Systematic Risk had a negative effect on stock return explained by the investors’ behavior in terms of decision-making. They tend to avoid market risk and purchase blue chip stock when it is reached its lowest. While firm value had no effect on stock return due to investors’ confidence and the good credibility of Kompas100 Index in sorting 100 stocks.