The Influence of Asset Growth and Asset Size on Systematic Risk (Beta) of Banking Stocks on the Indonesia Stock Exchange

Abstract

This study aims to analyze the effect of asset growth and asset size on the systematic risk (beta) of banking stocks listed on the Indonesia Stock Exchange. Systematic risk is a risk that cannot be eliminated through diversification and is an important indicator for investors in assessing the sensitivity of stocks to market changes. The number of samples in this study was 41 banks for 3 years, resulting in 123 observations. This study uses multiple linear regression methods with secondary data obtained from the bank's annual financial statements and market information. The results of the study indicate that asset growth has a positive and significant effect on systematic risk. This indicates that high asset growth tends to increase the systematic risk of stocks. Conversely, asset size has a negative and significant effect on systematic risk, which means that banks with larger asset sizes have lower systematic risk. The regression model shows that both variables together explain most of the variability in the systematic risk of banking stocks. This study provides an important contribution to investors and bank management in understanding the relationship between asset growth, asset size, and systematic risk of stocks. The implications of this study can help investors in making better investment decisions and provide guidance for banks to manage risk through appropriate asset management strategies.